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, the paper analyzes persistence and regime shifts.
| Autores: | , , |
|---|---|
| Formato: | artículo |
| Fecha de publicación: | 2025 |
| País: | España |
| Recursos: | Universidad Europea (UEM) |
| Repositorio: | ABACUS. Repositorio de Producción Científica |
| Idioma: | inglés |
| OAI Identifier: | oai:abacus.universidadeuropea.com:11268/16481 |
| Acesso em linha: | https://hdl.handle.net/11268/16481 |
| Access Level: | acceso abierto |
| Palavra-chave: | Mercado financiero Crecimiento económico Pandemia Goal 8: Promote inclusive and sustainable economic growth, employment and decent work for all |
| Resumo: | 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, the paper analyzes persistence and regime shifts. |
|---|