International Asset Pricing

Factor Investing & Factor Timing

Methods for selecting, timing, and combining factors when the zoo is crowded, the cross-section is noisy, and estimation error dominates.

Are There Fences in the Global Factor Zoo? featured image

Are There Fences in the Global Factor Zoo?

Regional and global factor momentum signals outperform local factors in forecasting risk premiums and revitalize momentum investing in less-integrated markets like Japan.

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