Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices
Factor investing in equities over 2000–2015, studied in a 2015 paper with a state-space model. The abstract mentions excess returns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Our intention is to test several modifications of these models to take into account different dynamics of equity excess returns between emerging and developed equity indices.”
AssetEquitiesindices
StrategyFactor investingmacro signals
TechniqueState-space modelclassical time series
GeographyGlobalUS
Also stated: Weekly, 2000–2015, Excess return, Price and volume
Missing from abstract: benchmark, 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
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