Lucas, André; Dijk, Ronald van; Kloek, Teunis - 2001 - This version: February 12, 2001
particular, we allow for a state-dependent choice of investment styles rather than aonce-and-for-all choice for a particular …, we find significant and robustexcess returns to style rotating investment strategies. Business cycle oriented approaches … exhibitthe best overall performance. Purely statistical models for style rotation or fixed investment stylesreveal less robust …