This article comprehensively reviews the predictability of six equity factors. These factors are the market excess return, size, value, momentum, low beta and quality. I find predictability for the low beta factor and moderate predictability for the size factor. The results for other factors are...

We construct mean-variance portfolios using a factor model approach. We show the importance of portfolio allocation for large unbalanced equity data sets using the full CRSP database. We compare the performance of our portfolio construction methodology to the 1/N naive diversification strategy,...

This paper empirically examines the well-known Chen-Roll-Ross model on the Croatian stock market. Modifications of definitions of the Chen-Roll-Ross model variables showed as necessary because of doubtful availability and quality of input data needed. Namely, some macroeconomic and market...

Factor momentum returns do not stem from momentum in factor returns. To study the source of returns, this paper decomposes the stock factor momentum portfolio into a factor timing portfolio and a static portfolio, where the former dynamically collects the return due to serial correlations of...

Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...

We study equity premium out-of-sample predictability by extracting the information contained in a high number of macroeconomic predictors via large dimensional factor models. We compare the well known factor model with a static representation of the common components with a more general model...

We make a case that characteristics-based long-short factors should be constructed by the slope factor method rather than by sorting methods. This is because sorting does not fully control for the influence of omitted characteristics, rendering them more noisy than slope factors. In contrast,...

The aim of this paper is to examine the validity of the four-factor asset pricing as a comparison the standard Fama-French three factor model using U.S. monthly stock return data from period January 1963 to December 2010. Monthly stock return are constructed into 25 portfolio while the...

The monthly factor premium time series for the three factors (market, size and value) in the Fama-French three factor model in India are found to be stationary for period April 01, 1991 till March 31, 2015. The stationarity behavior for the time series is inferred from a visual examination as...

Volatility clustering is a well-known effect in equity markets. In simple meaning, volatility clustering refers to a tendency of large changes in asset prices to follow large changes and small changes in asset prices to follow small changes. We tested two hypotheses: (1) firstly, if there is a...