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dc.contributor.authorLucas, Andréen_US
dc.contributor.authorDijk, Ronald vanen_US
dc.contributor.authorKloek, Teunen_US
dc.date.accessioned2006-03-31T12:42:36Z
dc.date.available2006-03-31T12:42:36Z
dc.date.issued2001-02-26en_US
dc.identifier.citationDiscussion paper TI, 01-021/2en_US
dc.identifier.urihttp://hdl.handle.net/1871/9459
dc.description.abstractUsing US data from June 1984 to July 1999, we show that the impact of firm-specificcharacteristics like size and book-to-price on future excess stock returns varies considerably over time. The impact can be either positive or negative at different times. This time variation is partially predictable. We investigate whether the partial predictability signals security mispricing or risk compensation by formulating alternative modeling strategies. The strategies are compared empirically, In particular, we allow for a state-dependent choice of investment styles rather than a once-and-for-all choice for a particular style, for example based on high book-to-price ratios or small market cap values. Using alternative ways to correct for risk, we find significant and robust excess returns to style rotating investment strategies. Business cycle oriented approaches exhibit the best overall performance. Purely statistical models for style rotation or fixed investment styles reveal less robust behavior.en_US
dc.format.extent418184 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherAmsterdam : Tinbergen Instituteen_US
dc.subjectinvestment styleen_US
dc.subjecttime-varying parametersen_US
dc.subjectrisk compensationen_US
dc.subjectbusiness cyclesen_US
dc.titleStock Selection, Style Rotation, and Risken_US
dc.typeResearch paperen
dc.subject.jelD23en_US
dc.subject.jelD82en_US


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