Size and value anomalies under regime shifts
By: by Massimo Guidolin and Allan Timmermann.
Contributors: Timmermann, Allan.; Federal Reserve Bank of St. Louis.
Series: Working paper ;; 2005-007A; Working paper (Federal Reserve Bank of St. Louis : Online) ;; 2005-007A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2005
Place of publication: [St. Louis, Mo.]
Language: eng
Format: Electronic resource
Subjects: Stocks -- Prices -- Econometric models.
Description: "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"--Federal Reserve Bank of St. Louis web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.