Review paper
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns
Abstract
The Fama-French three factor model is ubiquitous in modern finance. Returns are modeled as a linear combination of a market factor, a size factor and a book-to-market equity ratio (or “value”) factor. The success of this approach, since its introduction in 1992, has resulted in widespread adoption and a large body of related academic literature. The risk factors exhibit serial correlation at a monthly timeframe. This property is strongest in the...
Paper Details
Title
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns
Published Date
Jan 1, 2014
Journal
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Notes
History