Vix Signaled Switching for Style-Differential and Size-Differential Short-Term Stock Investing

Finance Letters, Forthcoming

Posted: 10 Jul 2006

See all articles by Dean Leistikow

Dean Leistikow

Fordham University - Finance Area

Susana Yu

Iona College

Abstract

Using VIX movements as signals, this study examines the Copeland and Copeland (1999) short-term style-differential (i.e. value versus growth) and size-differential (i.e. large-capitalization versus small-capitalization) stock allocation strategies. Unlike Copeland and Copeland (1999), this study analyzes the style-differential and size-differential strategies across low-VIX and high-VIX regimes, uses different time periods and different indices. In this study the style-differential strategy was not, while the size-differential strategy was generally statistically significantly profitable. The Copeland and Copeland (1999) anomaly that large capitalization (i.e. lower risk) stock returns exceed those for small capitalization (i.e. higher risk) stocks following VIX rises seems to be robust.

Keywords: Market Volatility, Trading Strategies

JEL Classification: G11, G14

Suggested Citation

Leistikow, Dean and Yu, Susana, Vix Signaled Switching for Style-Differential and Size-Differential Short-Term Stock Investing. Available at SSRN: https://ssrn.com/abstract=912786

Dean Leistikow

Fordham University - Finance Area ( email )

33 West 60th Street
New York, NY 10023
United States

Susana Yu (Contact Author)

Iona College ( email )

715 North Avenue
New Rochelle, NY 10801
United States

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