Conditioning information and cross-sectional anomalies

Stefano Gubellini ()

Review of Quantitative Finance and Accounting, 2014, vol. 43, issue 3, 529-569

Abstract: Recent empirical work suggests that predictability of future returns is related to a time-varying component that expected returns exhibit. In this paper, I use conditional asset pricing models to investigate whether return anomalies exhibit common dynamic patterns in returns. The prediction of a model might hinge on the specific interaction between its underlying state variables and considered portfolios. Using well known anomalies and alternative state variables I study such interaction. I document that different state variables identify similar time-varying behavior for the anomalies in extreme economic conditions, but such anomalies show no commonalities in their overall patterns. Copyright Springer Science+Business Media New York 2014

Keywords: Conditional CAPM; Time-varying patterns; Anomalies; G11; G12; G14 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s11156-013-0384-6

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