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

Manuel Monge, Rafael Hurtado and Juan Infante

PLOS ONE, 2025, vol. 20, issue 9, 1-12

Abstract: 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.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0332690 (text/html)
https://journals.plos.org/plosone/article/file?id= ... 32690&type=printable (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0332690

DOI: 10.1371/journal.pone.0332690

Access Statistics for this article

More articles in PLOS ONE from Public Library of Science
Bibliographic data for series maintained by plosone ().