Abstract
In this chapter, we study the performance of earnings yield and momentum factors in United States and International markets from January 1997 to August 2014. We find that these factors exhibited both higher return and lower risk in International markets than in the United States. We also investigated unit-exposure and fixed-volatility optimized factor portfolios under long-only and turnover constraints. For the unit exposure portfolios, we find that imposing additional constraints leads to increased out-of-sample volatility. For fixed volatility portfolios, we find that imposing additional constraints leads to lower factor exposures and in most cases lower realized returns.
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Menchero, J., Nagy, Z. (2017). Performance of Earnings Yield and Momentum Factors in US and International Equity Markets. In: Guerard, Jr., J. (eds) Portfolio Construction, Measurement, and Efficiency. Springer, Cham. https://doi.org/10.1007/978-3-319-33976-4_10
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DOI: https://doi.org/10.1007/978-3-319-33976-4_10
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