Hwang, Soosung and Satchell, S. (Stephen) (2000) The disappearance of style in the US equity market. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. (Working Papers Series).

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Abstract

This paper investigates the modelling of style returns in the US and the returns to style "tilts" based on forecasts of enhanced future style returns. We use hidden Markov model to build our forecasts. Our finding that style returns are less forecastible in more recent years 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.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Stocks -- United States, Risk -- Econometric models
Series Name:	Working Papers Series
Publisher:	Warwick Business School Financial Econometrics Research Centre
Place of Publication:	University of Warwick
Date:	10 April 2000
Volume:	Vol.1999
Number:	No.18
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
Funder:	Alpha Strategies Ltd.
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URI:	http://wrap.warwick.ac.uk/id/eprint/1832

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