Exhaustively Timing Equity Factor Premiums
November 21, 2023 - Equity Premium, Momentum Investing, Size Effect, Value Premium
Can investors reliably time the market, size, value and profitability long-short equity factor premiums? In their October 2023 paper entitled “Another Look at Timing the Equity Premiums”, Wei Dai and Audrey Dong test strategies that time these four premiums in U.S., developed ex-U.S. and emerging equity markets. They define the premiums as: Market – the… Keep Reading