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 …

Evaluating how factor premia vary over time and across asset classes is challenging due to
limited time series data, especially outside of US equities. We examine four prominent …

The anomaly zoo has caused many to question whether researchers are using the right tests
of statistical significance. But even if researchers are using the right tests, they will still draw …

We provide a comprehensive analysis of the timing success for equity risk factors. Our
analysis covers over 300 risk factors (factor zoo) and a high dimensional set of predictors …

A multi-factor commodity portfolio combining the momentum, basis, basis-momentum,
hedging pressure and value commodity factor portfolios outperforms significantly …

Factor cyclicality can be understood in the context of factor sensitivity to aggregate cash-flow
news. Factors exhibit different sensitivities to macroeconomic risk, and this heterogeneity …

Factor investing has been around for several decades, backed by an enormous body of
literature, and yet it is still surrounded by much confusion and debate. Some of the rhetoric …

In this study, we investigate the predictive power of economic policy uncertainty (EPU) on
factor returns in the Chinese market. We find that EPU can significantly but negatively predict …

Previous research finds that machine learning methods predict short-term return variation in
the cross-section of stocks, even when these methods do not impose strict economic …

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 …