Finance Research Seminar at Birkbeck (Professor Otto Randl from WU Vienna University of Economics and Business)
When:
—
Venue:
Online
We are pleased to invite you to the upcoming Online Finance Research Seminar on Thursday, 12 June, from 12:00 to 13:00. Professor Otto Randl from WU Vienna University of Economics and Business will present the paper:
Timing the Factor Zoo by Andreas Neuhierl, Otto Randl, Christoph Reschenhofer, Josef Zechner :: SSRN
Abstract
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. The performance of almost all groups of factors can be improved through timing, with improvements being highest for profitability and value factors. Past factor returns and volatility stand out as the most successful individual predictors of factor returns. However, both are dominated by aggregating many predictors using partial least squares. The median improvement of a timed vs. untimed factor is about 2% p.a. A timed multifactor portfolio leads to an 8.6% increase in annualized return relative to its naively timed counterpart.
Contact name: Ellen Yu
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