Regime-Dependent Predictive Structure Between Equity Factors: Evidence from Granger Causality

Chorok Lee

Papers from arXiv.org

Abstract: We document regime-dependent predictive structure between equity factors using 35 years of Fama-French data (1990-2024). We find that Value (HML) Granger-causes Size (SMB) during crisis regimes (p

Date: 2026-01
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