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A Tale of Two States: An Application of a Markov Switching Model to Anomaly Returns

  • 2020
  • OriginalPaper
  • Chapter
Published in:
Authors
Adam Zaremba
Anna Czapkiewicz
George D. Kambouris
Published in
Eurasian Economic Perspectives
Publisher
Springer International Publishing

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Abstract

The time-varying profitability of equity anomalies calls for a useful tool to select the winning investment strategies from the loser investment strategies. We offer a new framework for dynamic asset allocation across the anomalies based on a Markov regime switching model. Using a sample of eleven equity anomalies from the US equity market from the years 1963 to 2016 we demonstrate the predictability of their performance. The anomalies forecasted to be profitable significantly outperform the remaining anomalies by 0.15–0.43% per month. The results are robust to many considerations.

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previous chapter Earnings Quality and Market Efficiency: Evidence from Romanian Capital Market
next chapter Influence of the Correlation Coefficient on the Risk of the Exchange Option
Title
A Tale of Two States: An Application of a Markov Switching Model to Anomaly Returns
Authors
Adam Zaremba
Anna Czapkiewicz
George D. Kambouris
Copyright Year
2020
Book
Eurasian Economic Perspectives

Print ISBN: 978-3-030-35039-0

Electronic ISBN: 978-3-030-35040-6

Copyright Year: 2020

DOI
https://doi.org/10.1007/978-3-030-35040-6_14
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