Time trends and persistence of the return difference between growth and value investment strategies

This paper examines the dynamic disequilibrium between value investing and growth strategies, focusing on the structural changes induced by the COVID-19 pandemic. Using fractional integration and Markov-switching dynamic regression (MS-DR) models, we analyze persistence and regime shifts. The result...

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Detalhes bibliográficos
Autores: Monge, Manuel, Hurtado, Rafael, Infante, Juan
Formato: artículo
Fecha de publicación:2025
País:España
Recursos:Universidad de Málaga
Repositorio:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
Idioma:inglés
OAI Identifier:oai:ddfv.ufv.es:10641/6669
Acesso em linha:https://hdl.handle.net/10641/6669
Access Level:acceso abierto
Palavra-chave:General
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spelling Time trends and persistence of the return difference between growth and value investment strategiesMonge, ManuelHurtado, RafaelInfante, JuanGeneralYesyesThis paper examines the dynamic disequilibrium between value investing and growth strategies, focusing on the structural changes induced by the COVID-19 pandemic. Using fractional integration and Markov-switching dynamic regression (MS-DR) models, we analyze persistence and regime shifts. The results reveal that, prior to March 2020, the return difference was in a regime of high persistence and no reversion to the mean, making the deviations long-lasting. After the pandemic, the system shifted to a regime of moderate persistence with reversion to the mean, indicating that the return differences now tend to correct over time. This regime shift, confirmed by the Markov switching model, highlights a permanent change in the dynamics of value and growth strategies, which significantly affects their long-term equilibrium.Facultad de Derecho, Empresa y Gobierno20252025-09-0120252025-09-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/10641/6669reponame:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoriainstname:Universidad de MálagaInglésengopen accesshttp://purl.org/coar/access_right/c_abf2http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:ddfv.ufv.es:10641/66692026-06-11T12:44:57Z
dc.title.none.fl_str_mv Time trends and persistence of the return difference between growth and value investment strategies
title Time trends and persistence of the return difference between growth and value investment strategies
spellingShingle Time trends and persistence of the return difference between growth and value investment strategies
Monge, Manuel
General
Yes
yes
title_short Time trends and persistence of the return difference between growth and value investment strategies
title_full Time trends and persistence of the return difference between growth and value investment strategies
title_fullStr Time trends and persistence of the return difference between growth and value investment strategies
title_full_unstemmed Time trends and persistence of the return difference between growth and value investment strategies
title_sort Time trends and persistence of the return difference between growth and value investment strategies
dc.creator.none.fl_str_mv Monge, Manuel
Hurtado, Rafael
Infante, Juan
author Monge, Manuel
author_facet Monge, Manuel
Hurtado, Rafael
Infante, Juan
author_role author
author2 Hurtado, Rafael
Infante, Juan
author2_role author
author
dc.contributor.none.fl_str_mv Facultad de Derecho, Empresa y Gobierno
dc.subject.none.fl_str_mv General
Yes
yes
topic General
Yes
yes
description This paper examines the dynamic disequilibrium between value investing and growth strategies, focusing on the structural changes induced by the COVID-19 pandemic. Using fractional integration and Markov-switching dynamic regression (MS-DR) models, we analyze persistence and regime shifts. The results reveal that, prior to March 2020, the return difference was in a regime of high persistence and no reversion to the mean, making the deviations long-lasting. After the pandemic, the system shifted to a regime of moderate persistence with reversion to the mean, indicating that the return differences now tend to correct over time. This regime shift, confirmed by the Markov switching model, highlights a permanent change in the dynamics of value and growth strategies, which significantly affects their long-term equilibrium.
publishDate 2025
dc.date.none.fl_str_mv 2025
2025-09-01
2025
2025-09-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/10641/6669
url https://hdl.handle.net/10641/6669
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2

http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2

http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
instname:Universidad de Málaga
instname_str Universidad de Málaga
reponame_str DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
collection DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
repository.name.fl_str_mv
repository.mail.fl_str_mv
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