Multi-factor style rotation - an empirical study in the US stock market
Multi-factor style rotation - an empirical study in the US stock market
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Publisher
London: Routledge
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Language
English
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Publisher
London: Routledge
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Scope and Contents
Contents
To evaluate the rotation characteristics of different styles, this study employs the design of experiments (DOE) to systematically combine factor weights to generate stock selection models that express various stock selection styles. This study uses the S&P 500 constituent stocks as the stock pool. At the beginning of each month, we select the high...
Alternative Titles
Full title
Multi-factor style rotation - an empirical study in the US stock market
Authors, Artists and Contributors
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Record Identifier
TN_cdi_crossref_primary_10_1080_13504851_2022_2136354
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1080_13504851_2022_2136354
Other Identifiers
ISSN
1350-4851
E-ISSN
1466-4291
DOI
10.1080/13504851.2022.2136354
