Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

The disappearance of style in the US equity market

Tools
- Tools
+ Tools

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, Vol.1999 (No.18).

[img]
Preview
PDF
WRAP_Hwang_fwp99-18.pdf - Requires a PDF viewer.

Download (484Kb)
Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...

Request Changes to record.

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
Official Date: 10 April 2000
Dates:
DateEvent
10 April 2000Published
Volume: Vol.1999
Number: No.18
Status: Not Peer Reviewed
Access rights to Published version: Open Access (Creative Commons)
Funder: Alpha Strategies Ltd.

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics

twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us