Is Sector Neutrality in Factor Investing a Mistake?

IF 3.4 3区 经济学 Q1 BUSINESS, FINANCE Financial Analysts Journal Pub Date : 2023-05-11 DOI:10.1080/0015198X.2023.2196931
Sina Ehsani, Campbell R. Harvey, Feifei Li
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引用次数: 1

Abstract

Abstract Stock characteristics have two sources of predictive power. First, a characteristic might be valuable in identifying high or low expected returns across industries. Second, a characteristic might be useful in identifying individual stock expected returns within an industry. Past studies generally find that the firm-specific component is the strongest predictor, leading many to sector neutralize their factor exposures. We show both analytically and empirically that the average long–short investor is more likely to benefit from hedging out sector bets, whereas the long-only investor should, on average, avoid sector neutralization.
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要素投资中的行业中立是错误的吗?
股票特征的预测能力有两个来源。首先,一个特征可能在识别各行业的高或低预期回报方面很有价值。其次,特征可能有助于确定行业内单个股票的预期回报。过去的研究普遍发现,公司特定成分是最强的预测因子,导致许多部门抵消其因素暴露。我们从分析和经验两方面表明,平均多空投资者更有可能从对冲行业赌注中获益,而平均而言,只做多的投资者应该避免行业中和。
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来源期刊
Financial Analysts Journal
Financial Analysts Journal BUSINESS, FINANCE-
CiteScore
5.40
自引率
7.10%
发文量
31
期刊介绍: The Financial Analysts Journal aims to be the leading practitioner journal in the investment management community by advancing the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research from leading academics and practitioners.
期刊最新文献
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