Influence of market states on industry returns

Warren Thomson ()
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Warren Thomson: Finance and Economics, Griffith University

Journal of Asset Management, 2016, vol. 17, issue 2, No 5, 119-134

Abstract: 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.

Keywords: market states; industry; predictive effects; predictive returns (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1057/jam.2015.43

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