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Influence of market states on industry returns

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  • Warren Thomson

    (Finance and Economics, Griffith University)

Abstract

This empirical study considers the impact of market states on future industry returns. I investigate whether an industry’s past relative performance in the same market state as the current one predicts the industry’s future performance. The significant results from the new four-state dynamic model, helps substantiate the theory that certain industries are better to invest in at different times of the market cycle. I argue that the results provide strong evidence that market states predict future industry returns.

Suggested Citation

  • Warren Thomson, 2016. "Influence of market states on industry returns," Journal of Asset Management, Palgrave Macmillan, vol. 17(2), pages 119-134, March.
    • Handle: RePEc:pal:assmgt:v:17:y:2016:i:2:d:10.1057_jam.2015.43
    DOI: 10.1057/jam.2015.43
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    References listed on IDEAS

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