When Value Leads Size: Uncovering Hidden Relationships in Equity Factors
![Market volatility, measured by a six-factor norm, consistently spikes during periods of documented stress-clustering into a distinct “crisis” regime [latex]\text{(red)}[/latex]-while moderate fluctuations define an “elevated” regime [latex]\text{(yellow)}[/latex], suggesting that fear and response to major events predictably shape market behavior over the 1990-2024 period.](https://arxiv.org/html/2601.10732v1/x1.png)
New research reveals a shifting predictive power between key equity factors, demonstrating that the Value premium can foreshadow movements in the Size premium during periods of market crisis.






