We estimate a state-dependent multifactor model with two endogenous states. Its pricing accuracy is slightly superior to that of the Fama and French (1993, 1996) model. We have evidence for dramatically increased factor loadings for distress factors in one state. These results have implications...

This paper studies multifactor asset pricing in the presence of Markov regime switches. We present a state-dependent version of the Fama and French (1993) model. Performance of the unconditional Fama-French model is quite poor in some subperiods, in particular in recent years. The...

This paper studies multifactor asset pricing in the presence of Markov regime switches. We present a state-dependent version of the Fama and French (1993) model. Performance of the unconditional Fama-French model is quite poor in some subperiods, in particular in recent years. The...

We estimate a state-dependent multifactor model with two endogenous states. Its pricing accuracy is slightly superior to that of the Fama and French (1993, 1996) model. We have evidence for dramatically increased factor loadings for distress factors in one state. These results have implications...