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Regime-Dependent Predictive Structure Between Equity Factors: Evidence from Granger Causality

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  • Chorok Lee

Abstract

We document regime-dependent predictive structure between equity factors using 35 years of Fama-French data (1990-2024). We find that Value (HML) Granger-causes Size (SMB) during crisis regimes (p

Suggested Citation

  • Chorok Lee, 2026. "Regime-Dependent Predictive Structure Between Equity Factors: Evidence from Granger Causality," Papers 2601.10732, arXiv.org.
    • Handle: RePEc:arx:papers:2601.10732
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    References listed on IDEAS

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    6. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
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