In:
The Review of Asset Pricing Studies, Oxford University Press (OUP), ( 2023-06-06)
Abstract:
In a factor timing context, academic research has focused on identifying a set of predictors that can explain the dynamics of factor portfolios. We propose an alternative approach for timing factor portfolio returns by exploiting the information from their portfolio characteristics. Different combinations of dimension reduction techniques are employed to independently reduce the number of both predictors and portfolios to predict. Characteristic-based models outperform existing methods in terms of exact predictability, as well as investment performance. (JEL G10, G11, C52, C55) Received November 9, 2021; editorial decision March 23, 2023 by Editor Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
Type of Medium:
Online Resource
ISSN:
2045-9920
,
2045-9939
DOI:
10.1093/rapstu/raad010
Language:
English
Publisher:
Oxford University Press (OUP)
Publication Date:
2023
detail.hit.zdb_id:
2581398-5
detail.hit.zdb_id:
2600932-8
