Time trends and persistence of the return difference between growth and value investment strategies
This paper examines the dynamic disequilibrium between value investing and growth strategies, focusing on the structural changes induced by the COVID-19 pandemic. Using fractional integration and Markov-switching dynamic regression (MS-DR) models, we analyze persistence and regime shifts. The result...
| Authors: | , , |
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| Format: | article |
| Publication Date: | 2025 |
| Country: | España |
| Institution: | Universidad de Málaga |
| Repository: | DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria |
| Language: | English |
| OAI Identifier: | oai:ddfv.ufv.es:10641/6669 |
| Online Access: | https://hdl.handle.net/10641/6669 |
| Access Level: | Open access |
| Keyword: | General Yes yes |
| Summary: | This paper examines the dynamic disequilibrium between value investing and growth strategies, focusing on the structural changes induced by the COVID-19 pandemic. Using fractional integration and Markov-switching dynamic regression (MS-DR) models, we analyze persistence and regime shifts. The results reveal that, prior to March 2020, the return difference was in a regime of high persistence and no reversion to the mean, making the deviations long-lasting. After the pandemic, the system shifted to a regime of moderate persistence with reversion to the mean, indicating that the return differences now tend to correct over time. This regime shift, confirmed by the Markov switching model, highlights a permanent change in the dynamics of value and growth strategies, which significantly affects their long-term equilibrium. |
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