Purpose The purpose of this paper is to present and demonstrate how the use of a multifactor model in the analysis of market timing skill can be misleading because the use of a multifactor model does not suit all investment styles equally well. If the factors of the analysis model do not span...

This study examines the exposures of cross-sectional anomalies to volatility risk in different economic and market cycles. The study shows that cross-sectional anomalies exposures can change dramatically. Most notably, the exposure of the value factor to volatility risk changed completely from...