Influence of market states on industry returns
Author(s)
Thomson, Warren
Griffith University Author(s)
Year published
2016
Metadata
Show full item recordAbstract
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
Subject
Banking, Finance and Investment not elsewhere classified
Banking, Finance and Investment