Equity Factor Performance Following Positive and Negative Market Returns
July 25, 2023 - Equity Premium
Do stock return anomalies perform differently after positive and negative monthly market returns? In their July 2023 paper entitled “The Market State, Mispricing and Asset Pricing Anomalies”, Michael Di Carlo and Ilias Tsiakas examine the role of the overall market state in estimating returns for stock return anomalies, specifying the market state as positive (negative)… Keep Reading