A1213
Title: Surfing the cross-sectional density of characteristics for factor timing
Authors: Soohun Kim - KAIST (Korea, South) [presenting]
Yoosoon Chang - Indiana University (United States)
Youngmin Choi - Baruch College (United States)
Joon Park - Indiana University (United States)
Abstract: The aim is to propose a method that leverages the entire cross-section of stocks rather than concentrating solely on the top and bottom deciles to achieve optimal factor timing performance. By exploiting the timely information embedded in the cross-sectional density of characteristics at a given point in time, the factor timing strategy significantly outperforms traditional long-short portfolios.
