Kuo, Yu-Shang; Huang, Jen-Tsung - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-24
This study explores risk-reward patterns in the US stock market and establishes optimal factor-based investing using the Fama-French five-factor model through market cycles constructed by Shiller’s interest rates and Baker-Wurgler’s sentiments. Our emerging evidence confirms that the...