Factors Timing Factors
从规范和实证资产定价理论角度，质疑用其他因子对因子进行择时的有效性，认为应关注因子溢价背后的根本原因。
It is common practice to refer to a factor premium’s current valuation when assessing its attractiveness—in effect using a single-value-factor model to gauge whether the factor is rich, fairly valued, or cheap. Meanwhile, studies have investigated how some factor premia are exposed to other factor premia in order to characterize their behavior over time. This article questions the utility of employing factors to time factors by examining the issue through the lenses of both normative and positive asset pricing theory, while also shedding some light on the potential impact of crowding on factor attractiveness. The author believes that attempting to time factors using other factors is generally of limited value and that factor timers would be better served by focusing on the underlying rationale believed to give rise to these premia. <b>TOPICS:</b>Analysis of individual factors/risk premia, performance measurement