Size and Value Anomalies under Regime Shifts
研究发现股票市场组合与规模、价值效应组合的收益率联合分布随时间变化，均值、波动率和相关性受潜在体制驱动，为投资者带来短期市场时机机会，且体制显著影响最优资产配置和投资者效用。
This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size- and value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that introduce short-run market timing opportunities for investors. The magnitude of the premia on the size and value portfolios and their hedging properties are found to vary across regimes. Regimes are shown to have a large impact both on the optimal asset allocation—especially under rebalancing—and on investors' utility. Regimes also have a considerable impact on hedging demands, which are positive when the investor starts from more favorable regimes and negative when starting from bad states. Recursive out-of-sample forecasting experiments show that portfolio strategies based on models that account for regimes dominate single-state benchmarks.