Firm Characteristics, Alternative Factors, and Asset-Pricing Anomalies: Evidence from Japan
Factor investing in equities over 1978–2006, studied by Chou and co-authors in 2009 with 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.
“Surprisingly, we find that turnover and BM are the two major characteristics that significantly explain the average stock returns.”
AssetEquities
StrategyFactor investing
TechniqueLinear factor model
GeographyEuropeJapan
Also stated: 1978–2006
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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