@article{20.500.12766/810,
year = {2025},
month = {9},
url = {https://hdl.handle.net/20.500.12766/810},
abstract = {This paper examines the dynamic disequilibrium between value investing and growth
strategies, focusing on the structural changes induced by the COVID-19 pandemic.
Using fractional integration and Markov-switching dynamic regression (MS-DR) models,
we analyze persistence and regime shifts. The results reveal that, prior to March
2020, the return difference was in a regime of high persistence and no reversion to
the mean, making the deviations long-lasting. After the pandemic, the system shifted
to a regime of moderate persistence with reversion to the mean, indicating that the
return differences now tend to correct over time. This regime shift, confirmed by the
Markov switching model, highlights a permanent change in the dynamics of value
and growth strategies, which significantly affects their long-term equilibrium.},
publisher = {PLOS One},
title = {Time trends and persistence of the return difference between growth and value investment strategies},
doi = {10.1371/journal. pone.0332690},
journal = {PLoS One},
keywords = {Humans},
keywords = {Investments / economics},
keywords = {Markov Chains},
keywords = {Pandemics / economics},
keywords = {SARS-CoV-2 / isolation & purification},
keywords = {COVID-19 / economics},
keywords = {COVID-19 / epidemiology},
volume = {20},
author = {Monge, Manuel and Hurtado, Rafael and Infante, Juan},
}