#2727. Fama–French factor timing: The long-only integrated approach

November 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript3000 $

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Journal’s subject area:
Economics, Econometrics and Finance (all);
Accounting;
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Abstract:
The article presents a new real approach based on the only long-integrated approach to factor investing. Instead of using potential momentum in portfolios of factors, the strategy is based on the momentum of optimal factor weights in an integrated approach, which allows us to additionally profit from serial dependence in the effects of factor interactions.
Keywords:
equity style timing; factor timing; integrated approach; momentum

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