Hwang, Soosung; Satchell, Stephen E. - In: Applied Financial Economics 17 (2007) 8, pp. 597-613
This article investigates the modelling of style returns in the United States and the returns to style 'tilts' based on forecasts of enhanced future style returns. We use hidden Markov model to build our forecasts for data from 1975 to 1998. We do not include more recent observations as the...