Factor timing in the Chinese stock market
Abstract I conduct an exploratory study about the feasibility of factor timing in the Chinese stock market, covering 24 representative and well‐identified risk factors in 10 categories from the literature. The long–short portfolio of short‐term reversal exhibits strong out‐of‐sample predictability,...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2024-12-01
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| Series: | International Studies of Economics |
| Subjects: | |
| Online Access: | https://doi.org/10.1002/ise3.86 |
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