Factor momentum exists in the bond market. The time-series momentum strategy using 10
bond factors earns an annualized return of 5.20% with a Sharpe ratio of 0.79. The …

We develop deep neural networks with economically motivated restrictions that are
designed to overcome the main challenges of factor timing. Our critical innovations include …

I conduct an exploratory study about the feasibility of factor timing in the Chinese stock
market, covering 24 representative and well‐identified risk factors in 10 categories from the …

Using a comprehensive set of 92 equity factors, I re-evaluate the performance of variables
that have been shown from prior studies to be good predictors of factor returns. I find that …