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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Factor Timing with Portfolio Characteristics
AU - Kagkadis, Anastasios
AU - Nolte, Ingmar
AU - Nolte, Sandra
AU - Vasilas, Nikolas
PY - 2024/3/31
Y1 - 2024/3/31
N2 - 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.
AB - 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.
U2 - 10.1093/rapstu/raad010
DO - 10.1093/rapstu/raad010
M3 - Journal article
VL - 14
SP - 84
EP - 118
JO - Review of Asset Pricing Studies
JF - Review of Asset Pricing Studies
SN - 2045-9920
IS - 1
ER -