Factor Timing with Portfolio Characteristics

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2023-06-06 DOI:10.1093/rapstu/raad010

Anastasios Kagkadis, Ingmar Nolte, Sandra Nolte, Nikolaos Vasilas

引用次数: 0

Abstract

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.

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投资组合特征的因子择时

在因子时序背景下，学术研究的重点是确定一组可以解释因子组合动态的预测因子。我们提出了一种利用时序因子投资组合特征信息来计算时序因子投资组合收益的替代方法。采用不同的降维技术组合来独立地减少预测者和预测组合的数量。基于特征的模型在精确的可预测性和投资绩效方面优于现有的方法。(JEL G10, G11, C52, C55)收稿日期:2021年11月9日;编辑决定，2023年3月23日，编辑杰弗里·蓬蒂夫。作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.