Influence of market states on industry returns

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Thomson, Warren
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2016
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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.

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Journal of Asset Management

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17

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2

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Banking, Finance and Investment not elsewhere classified

Banking, Finance and Investment

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