In Good and in Bad Times? The Relation between Anomaly Returns and Market States
研究了1980至2019年57个国家中133个市场异象在不同市场状态下的表现，发现绝大多数异象在坏时光中表现更好，且收益差异主要由空头驱动。
We evaluate the relation between 133 anomalies/factors and market states using a sample of 57 countries from 1980 to 2019. The vast majority (96 of 133; 50 significant at the 5% level) performs better in bad times; 9 anomalies perform significantly better in good times, including market, size, value, and momentum. The value-weighted four-factor alpha amounts to 47.7 (31.8) bps in bad (good) times. 92.9% of the performance gain in bad times is driven by the anomaly short side. Findings are robust to controlling for sentiment or recession indicators and highlight the importance of mispricing in explaining anomaly returns.