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- W2396753989 abstract "The authors study the time-dependent relationship between alternative beta strategies and the Fama–French factors. It is widely believed that the excess performance of alternative beta strategies can be explained by their exposure to well-known pricing factors, such as size and value. Nevertheless, there is still a limited understanding of the dynamics of the relationship between the strategies and the risk factors in different market regimes. The authors estimate a four-regime, Markov switching model on a dataset that includes the returns of a market portfolio, value and size factors, and two alternative beta strategies (equal weight and minimum variance). A three-factor model, conditional on regimes, shows that the factor exposures of the strategies change significantly across regimes, indicating that alternative beta strategies might not offer static exposure to risk factors over time." @default.
- W2396753989 created "2016-06-24" @default.
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- W2396753989 date "2016-05-31" @default.
- W2396753989 modified "2023-09-25" @default.
- W2396753989 title "Factor Exposure of Alternative Beta Strategiesacross Market Regimes" @default.
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- W2396753989 doi "https://doi.org/10.3905/jii.2016.7.1.078" @default.
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