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  • Influence of market states on industry returns

    Author(s)
    Thomson, Warren
    Griffith University Author(s)
    Thomson, Warren D.
    Year published
    2016
    Metadata
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    Abstract
    This empirical study considers the impact of market states on future industry returns. I investigate whether an industry’s past relative performance in the same market state as the current one predicts the industry’s future performance. The significant results from the new four-state dynamic model, helps substantiate the theory that certain industries are better to invest in at different times of the market cycle. I argue that the results provide strong evidence that market states predict future industry returns.This empirical study considers the impact of market states on future industry returns. I investigate whether an industry’s past relative performance in the same market state as the current one predicts the industry’s future performance. The significant results from the new four-state dynamic model, helps substantiate the theory that certain industries are better to invest in at different times of the market cycle. I argue that the results provide strong evidence that market states predict future industry returns.
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    Journal Title
    Journal of Asset Management
    Volume
    17
    Issue
    2
    DOI
    https://doi.org/10.1057/jam.2015.43
    Subject
    Banking, Finance and Investment not elsewhere classified
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/100567
    Collection
    • Journal articles

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