Time trends and persistence of the return difference between growth and value investment strategies
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Monge, Manuel
Hurtado, Rafael
Infante, Juan
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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, the paper analyzes persistence and regime shifts.
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Monge, M., Hurtado, R., & Infante, J. (2025). Time trends and persistence of the return difference between growth and value investment strategies. PLOS One, 20(9), e0332690. https://doi.org/10.1371/journal.pone.0332690
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https://doi.org/10.1371/journal.pone.0332690Type of document
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La licencia de este ítem se describe como Atribución/Reconocimiento 4.0 Internacional