Referenz
Stöckl, S. (2018). Turbulence in the Cross-Section: Predicting Factor Premia. Presented at the 2nd INFINITI Conference on International Finance ASIA-PACIFIC, Sydney, Australia.
Publikationsart
Präsentation auf wissenschaftlicher Konferenz
Abstract
Theories that explain the size of factor premia are rare. We show that parameter uncertainty based on the turbulence within each cross-section of factor portfolios produces a significant out-of-sample forecast for six out of seven tested Fama-French risk factors, yielding the best predictor among a variety of popular predictors in five of these cases. A simple trading strategy corroborates these findings economically. Therefore, one measure predicts all the premia solely based on information contained in its own cross-section.
Mitarbeiter
Einrichtungen
- Lehrstuhl für Finance
- Institut für Finance