| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26708 |
| 来源ID | Working Paper 26708 |
| Factor Timing | |
| Valentin Haddad; Serhiy Kozak; Shrihari Santosh | |
| 发表日期 | 2020-02-03 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | The optimal factor timing portfolio is equivalent to the stochastic discount factor. We propose and implement a method to characterize both empirically. Our approach imposes restrictions on the dynamics of expected returns which lead to an economically plausible SDF. Market-neutral equity factors are strongly and robustly predictable. Exploiting this predictability leads to substantial improvement in portfolio performance relative to static factor investing. The variance of the corresponding SDF is larger, more variable over time, and exhibits different cyclical behavior than estimates ignoring this fact. These results pose new challenges for theories that aim to match the cross-section of stock returns. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w26708 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584382 |
| 推荐引用方式 GB/T 7714 | Valentin Haddad,Serhiy Kozak,Shrihari Santosh. Factor Timing. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26708.pdf（1008KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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