Asset Pricing and Excess Returns over the Market Return
A 2017 paper by Ahn and Horenstein on factor investing in equities, using a linear factor model: the abstract mentions excess returns and a benchmark and leaves out an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“For the cases in which the market portfolio (of stocks) is a well-diversified but mean-variance inefficient one, we show that the market betas become unitary when the Capital Asset Pricing Model is augmented with the common factors in the space of excess returns.”
AssetEquities
StrategyFactor investingportfolio optimization
TechniqueLinear factor model
GeographyUSEurope
Also stated: Excess return, benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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