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arXiv 1902.01015econ.EMstat.AP
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因子投资:贝叶斯分层方法

Factor Investing: A Bayesian Hierarchical Approach

Guanhao Feng, Jingyu He

摘要:

本文研究了收益可预测时的资产配置问题。我们引入了一个市场时机贝叶斯分层(BH)的方法,采用异质时变系数驱动的滞后基本特征。我们的方法包括联合估计的条件预期收益和协方差矩阵,并考虑估计风险的投资组合分析。分层先验允许单独建模不同的资产,同时在资产之间共享信息。我们展示了美国股票市场的表现。虽然贝叶斯预测略有偏差,但我们的BH方法在点和区间预测中优于大多数替代方法。我们的BH方法在最近20年的行业投资中提供了0.92%的平均月回报率和0.32%的显着Jensen's alpha。我们还发现,科技、能源和制造业是过去十年的重要板块,规模、投资和短期反转因素权重较大。最后,我们的BH方法构造的随机贴现因子解释了大多数异常。

英文摘要:

This paper investigates asset allocation problems when returns are predictable. We introduce a market-timing Bayesian hierarchical (BH) approach that adopts heterogeneous time-varying coefficients driven by lagged fundamental characteristics. Our approach includes a joint estimation of conditional expected returns and covariance matrix and considers estimation risk for portfolio analysis. The hierarchical prior allows modeling different assets separately while sharing information across assets. We demonstrate the performance of the U.S. equity market. Though the Bayesian forecast is slightly biased, our BH approach outperforms most alternative methods in point and interval prediction. Our BH approach in sector investment for the recent twenty years delivers a 0.92\% average monthly returns and a 0.32\% significant Jensen`s alpha. We also find technology, energy, and manufacturing are important sectors in the past decade, and size, investment, and short-term reversal factors are heavily weighted. Finally, the stochastic discount factor constructed by our BH approach explains most anomalies.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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