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Is momentum really momentum?
Novy-Marx, Robert - In: Journal of financial economics 103 (2012) 3, pp. 429-453
Persistent link: https://www.econbiz.de/10009520656
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The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk
Bianchi, Stephen - 2019
In this article, the authors measure the impact of estimation error on latent factor model forecasts of portfolio risk … find that an estimation period of 250 days may be adequate to accurately forecast risk and factor exposures for an equally … an estimation period of 1000 days. This underscores the importance of testing risk models on optimized portfolios …
Persistent link: https://www.econbiz.de/10012903199
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The impact of estimation error on latent factor model forecasts of portfolio risk
Bianchi, Stephen W.; Goldberg, Lisa; Rosenberg, Allan - In: The journal of portfolio management : a publication of … 43 (2017) 5, pp. 147-156
Persistent link: https://www.econbiz.de/10011686352
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New methods for testing, prediction, and estimation with applications to finance
Hediger, Simon - 2023
Persistent link: https://www.econbiz.de/10014282051
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Testing nowcast monotonicity with estimated factors
Fosten, Jack; Gutknecht, Daniel - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 107-123
Persistent link: https://www.econbiz.de/10012179524
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A trend factor : Any economic gains from using information over investment horizons?
Han, Yufeng; Zhou, Guofu; Zhu, Yingzi - In: Journal of financial economics 122 (2016) 2, pp. 352-375
Persistent link: https://www.econbiz.de/10011590910
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Tangent portfolio weights without explicitly specified expected returns
Glabadanidis, Paskalis - In: The journal of asset management 15 (2014) 3, pp. 177-190
Persistent link: https://www.econbiz.de/10010415936
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Understanding momentum and reversal
Kelly, Bryan T.; Moskowitz, Tobias J.; Pruitt, Seth - In: Journal of financial economics 140 (2021) 3, pp. 726-743
Persistent link: https://www.econbiz.de/10013259592
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Forecast ranked tailored equity portfolios
Buncic, Daniel; Stern, Cord - In: Journal of international financial markets, … 63 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012263321
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Equity Machine Factor Models
Noguer i Alonso, Miquel; Zoonekynd, Vincent - 2022
We examine in this paper the training and test set performance of several equity factor models with a dataset of 20 years of data, 1,200 stocks and 100 factors. First, we examine several models to forecast expected returns, which can be used as baselines for more complex models: linear...
Persistent link: https://www.econbiz.de/10014255242