Factor Premia and Factor Timing: A Century of Evidence

Ilmanen, Antti; Israel, Ronen; Moskowitz, Tobias J.; Thapar, Ashwin; Wang, Franklin

doi:10.2139/ssrn.3400998

Cited by 31 publications

(27 citation statements)

References 51 publications

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“…Klement (2012) demonstrates that CAPE can predict returns even within a five-to ten-year horizon. The efficiency of CAPE as the predictor of future returns was later verified and confirmed also by Angelini et al (2012), Novotny and Gupta (2015), Keimling (2016), and Ilmanen et al (2019).…”

Section: Value Effectmentioning

confidence: 72%

“…Baltussen et al (2019a) research several major anomalies for the years 1799-2016. Other studies researching similar long-run data sets include Ilmanen et al (2019), Hurst et al (2017), or Spierdijk et al (2012. For a detailed outline of different lengths of the study period, see Table 1.…”

Section: Study Periodmentioning

confidence: 99%

“…In other words, which strategies could be selected at a given time and how can we predict their performance? Several studies demonstrate significant time-series variation in country-level strategy returns, which can be linked, for example, to macroeconomic variables, sentiment, or liquidity and arbitrage constraints (Asness et al 2013;Cooper et al 2019;Ilmanen et al 2019). Indeed, some papers provide evidence that country-level strategies could be timed.…”

Section: Further Investment Considerationsmentioning

confidence: 99%

“…Yara et al (2018) argue that value spreads, i.e., the differences in valuations of long and short sides of the spread portfolios, help to predict their performance. Finally, Ilmanen et al (2019) compare several well-known anomaly selection strategies from the firm-level universe. In particular, they investigate 12 different timing signals.…”

Section: Further Investment Considerationsmentioning

confidence: 99%

“…The detailed outline of the sample size in selected studies is presented in Table 1. Asness et al (2013) 18 1978-2011 MSCI indices Avramov et al (2012Avramov et al ( ) 75 1989Avramov et al ( -2009 MSCI and Datastream indices Bali and Cakici (2010) 37 1973 Datastream indices Baltussen et al (2019a) 14 1799-2016 Local country indices Balvers and Wu (2006) 18 1969-1999 MSCI indices Balvers et al (2000) 18 1969MSCI indices Berrada et al (2015 18 1975-2010 MSCI indices Bhojraj and Swaminathan (2006) 38 1975-1999 Datastream indices Cenedese et al (2016) 42 1983-2011 MSCI indices Chan et al (2000) 23 1980-1995 Local country indices Clare et al (2016) 40 1993-2011 MSCI indices Daniel and Moskowitz (2016) 18 1978-2013 Index futures Desrosiers et al (2007Desrosiers et al ( ) 19 1988Desrosiers et al ( -2005 MSCI indices Dobrynskaya (2015) 40 1983-2014 MSCI indices Ellahie et al (2019) 30 1993-2014 Aggregated stock-level data Erb et al (1995) 40 1980MSCI and IFC indices Estrada (2000 28 1988-1998 MSCI indices Ferson and Harvey (1994a) 18 1970-1989MSCI indices Fisher et al (2017 37 1990-2015 MSCI indices Geczy and Samonov (2017) 47 1800-2014 Global Financial Data and Bloomberg indices Guilmin (2015) 18 1975-2014 MSCI indices Hedegaard (2018) 25 1988-2018 MSCI indices Hurst et al (2017) 11 1880-2016 Index futures Ilmanen et al (2019) 23 1877-2018 Global Financial Data, Bloomberg Datast...…”

Section: Introductionmentioning

confidence: 99%

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The Cross Section of Country Equity Returns: A Review of Empirical Literature

Zaremba

2019

JRFM

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The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows or political regimes. Nonetheless, the different studies vary remarkably in terms of their dataset and methods employed. This study aims to provide a comprehensive review of the current literature on the cross-section of country equity returns. We focus on three particular aspects of the asset pricing literature. First, we study the choice of dataset and sample preparation methods. Second, we survey different aspects of the methodological approaches. Last but not least, we review the country-level equity anomalies discovered so far. The discussed cross-sectional return patterns not only provide new insights into international asset pricing but can also be potentially translated into effective country allocation strategies.

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Section: Value Effectmentioning

confidence: 72%

Section: Study Periodmentioning

confidence: 99%

Section: Further Investment Considerationsmentioning

confidence: 99%

Section: Further Investment Considerationsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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The Cross Section of Country Equity Returns: A Review of Empirical Literature

Zaremba

2019

JRFM

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Commodity momentum decomposition

Iwanaga

Sakemoto

2022

Journal of Futures Markets

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This study decomposes the momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a higher Sharpe ratio than a price-to-high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and PTH are associated with overconfidence and strong self-attribution. In contrast, HTP is linked to investors' underreaction and the information diffusion process. Moreover, we find that positive demand shocks raise the return on HTP.

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Unprofitability of food market investments

Vinzelberg

Auer

2022

Manage Decis Econ

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Using more than two decades of disaggregated return data, we provide a comprehensive study of the investment benefits offered by food futures. In addition to comparing them to established passive and active investment vehicles, we investigate whether diversified investors can capitalize on including food futures into their portfolios. Our analysis is conducted within traditional and modern mean‐risk portfolio frameworks (measuring risk in terms of variance and tail size, respectively) supplemented by robust resampling techniques. Reward‐to‐risk investment performance is evaluated out of sample and by means of state‐of‐the‐art bootstrap testing. Overall, we find that food futures neither surpass standalone investments in stock, bond, and nonfood commodity markets nor do they significantly improve optimized multi‐asset portfolios.

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Factor Premia and Factor Timing: A Century of Evidence

Cited by 31 publications

References 51 publications

The Cross Section of Country Equity Returns: A Review of Empirical Literature

The Cross Section of Country Equity Returns: A Review of Empirical Literature

Commodity momentum decomposition

Unprofitability of food market investments

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