Size and value anomalies under regime shifts

Massimo Guidolin and Allan Timmerman

No 2005-007, Working Papers from Federal Reserve Bank of St. Louis

Abstract: This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size- and value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that introduce short-run market timing opportunities for investors. The magnitude of the premia on the size and value portfolios and their hedging properties are found to vary significantly across regimes. Regimes are also found to have a large impact on the optimal asset allocation - especially under rebalancing - and on investors' welfare.

Keywords: Assets; (Accounting) (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-fin and nep-rmg
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Citations: View citations in EconPapers (12)

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Related works:
Journal Article: Size and Value Anomalies under Regime Shifts (2008)
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