The disappearance of style in the US equity market
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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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
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|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
|Funder:||Alpha Strategies Ltd.|
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