The authors study the asymmetries in the value, size, and momentum factor premiums across expansionary and recessionary regimes in the UK over the period January 1982 - June 2014. They find strong evidence for asymmetries across all three factors in the different regimes; the size premium showed the strongest asymmetry (even turning negative in the recessionary regime), and the momentum factor showed the least asymmetry.
The authors also corroborate US studies by finding that macroeconomic factors (such as GDP Growth, credit, inflation, etc.) are significant determinants of value/size/momentum factor premiums, especially in market downturns. The authors also developed a Markov switching model and back-tested a portfolio, beating a buy and hold strategy across 8 size/value/momentum portfolios.
Sarwar, G., Mateus, C., & Todorovic, N. (2017). A tale of two
states: asymmetries in the UK small, value and momentum premiums. Applied Economics, 49(5), 456–476.
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