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...

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...