Advanced Search
MyIDEAS: Login

The Disappearance of Style in the US Equity Market

Contents:

Author Info

  • Stephen Satchell
  • Soosung Hwang

Abstract

This article investigates the modelling of style returns in the United States and the returns to style 'tilts' based on forecasts of enhanced future style returns. We use hidden Markov model to build our forecasts for data from 1975 to 1998. We do not include more recent observations as the subsequent trend and volatility sways the analysis. Our finding that style returns are less forecastible in the late 1990s is consistent with the hypothesis that style returns are the result of anomalies rather than risk premia. The erosion of anomalous returns as public awareness of their presence is translated into strategies that arbitrage away the excess returns seems to be a hypothesis consistent with our modelling results.

(This abstract was borrowed from another version of this item.)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/rsrchcentres/ferc/wrkingpaprseries/fwp99-18.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Warwick Business School, Finance Group in its series Working Papers with number wp99-18.

as in new window
Length:
Date of creation: 1999
Date of revision:
Handle: RePEc:wbs:wpaper:wp99-18

Contact details of provider:
Postal: Coventry, CV4 7AL
Phone: +44 (0)24 76524118
Fax: +44 (0)24 76524167
Email:
Web page: http://web.warwick.ac.uk/fac/soc/financeRepec/
More information through EDIRC

Related research

Keywords:

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, Department of Economics, University of Venice "Ca' Foscari".
  2. emmanuel, mamatzakis & george, christodoulakis, 2010. "Return Attribution Analysis of the UK Insurance Portfolios," MPRA Paper 22516, University Library of Munich, Germany.
  3. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2008. "Crises and Hedge Fund Risk," Yale School of Management Working Papers amz2561, Yale School of Management, revised 01 Oct 2009.
  4. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wbs:wpaper:wp99-18. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rong Leng).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.