Factor Timing
研究发现最优因子择时组合等价于随机贴现因子，通过约束预期收益动态构建经济上合理的SDF，发现市场中性股票因子可被强预测，利用此预测能显著提升组合表现，且SDF方差更大、时变且周期行为不同，对解释股票横截面收益的理论提出新挑战。
Abstract The optimal factor timing portfolio is equivalent to the stochastic discount factor. We propose and implement a method to characterize both empirically. Our approach imposes restrictions on the dynamics of expected returns, leading to an economically plausible SDF. Market-neutral equity factors are strongly and robustly predictable. Exploiting this predictability leads to substantial improvement in portfolio performance relative to static factor investing. The variance of the corresponding SDF is larger, is more variable over time, and exhibits different cyclical behavior than estimates ignoring this fact. These results pose new challenges for theories that aim to match the cross-section of stock returns. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.