Journal of Banking & Finance Vol. 190 2026
In good and in bad times? The relation between anomaly returns and market states
open access
Abstract
We evaluate the relation between 133 anomalies/factors and market states using a sample of 57 countries from 1980 to 2019. The vast majority (96 of 133; 50 significant at the 5% level) performs better in bad times; 9 anomalies perform significantly better in good times, including market, size, value, and momentum. The value-weighted four-factor alpha amounts to 47.7 (31.8) bps in bad (good) times. 92.9% of the performance gain in bad times is driven by the anomaly short side. Findings are robust to controlling for sentiment or recession indicators and highlight the importance of mispricing in explaining anomaly returns.
- DOI
- 10.1016/j.jbankfin.2026.107746
- Volume
- 190
- Pages
- 107746
- Language
- en
- Sources
- openalex crossref