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Size and Value Anomalies under Regime Shifts · Study

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PreprintSize and Value Anomalies under Regime Shifts

Massimo Guidolin2004

OA

Preprintgreen2004

Size and Value Anomalies under Regime Shifts

Massimo Guidolin · Allan Timmermann

25 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1981The relationship between return and market value of common stocks 1989Business conditions and expected returns on stocks and bonds 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1988Dividend yields and expected stock returns 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 2001Consumption, Aggregate Wealth, and Expected Stock Returns

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2010Value versus Growth: Time-Varying Expected Stock Returns 2021Optimal portfolio strategies in the presence of regimes in asset returns 2021Structural shocks in monetary policy, exchange rates, and stock prices using SVAR in Iran

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2007Size and Value Anomalies under Regime Shiftsarticle · 42 shared references 2004Strategic Asset Allocation and Consumption Decisions Under Multivariate Regime Switchingpreprint · 34 shared references 2006Asset Allocation Under Multivariate Regime Switchingpreprint · 25 shared references 2008Small caps in international equity portfolios: the effects of variance riskarticle · 23 shared references 2004Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returnsarticle · 20 shared references 2005International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferencespreprint · 20 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.676545

openalex_workW2011381095

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