Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns
Connor, Arx and Linton (2007) study momentum and trend following in equities using a linear factor model. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We find that momentum and own-volatility factors are at least as important if not more important than size and value in explaining equity return comovements.”
AssetEquities
StrategyMomentumfactor investing
TechniqueLinear factor model
GeographyEurope
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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