Nalbantov, Georgi; Bauer, Rob; Sprinkhuizen-Kuyper, Ida - In: Applied Financial Economics 16 (2006) 15, pp. 1095-1111
The disappointing performance of value and small cap strategies shows that style consistency may not provide the long-term benefits often assumed in the literature. In this study it is examined whether the short-term variation in the US size and value premium is predictable. Style-timing...