Factor Investing: A Bayesian Hierarchical Approach
Factor investing in equities, studied by Feng and He in 2020 with Bayesian methods. The abstract mentions alpha and excess returns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Though the Bayesian forecast is slightly biased, our BH approach outperforms most alternative methods in point and interval prediction.”
AssetEquities
StrategyFactor investingshort-term reversal
TechniqueBayesian
GeographyUS
Also stated: Monthly, Alpha, Excess return, Fundamentals
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
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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