The Cross-Section of Factor Returns
研究了150多个股票因子的收益率横截面，发现多数因子长期有正溢价和负市场贝塔，调整贝塔后阿尔法更高且更稳定，有助于构建更稳健的因子投资策略。
This article explores the cross section of factor returns using a sample of 150+ equity factors. Most factors exhibit a positive premium and a negative market beta in the long run. Factor themes with a clear positive beta, in particular, low leverage and size, have no alpha after controlling for this beta exposure. The remaining factors generate most of their raw return in bear markets, which also explains half of their decay in the predominantly bullish post-2004 period. Beta-adjusting factor returns yields alphas that are not only higher but also considerably more stable. The study revisits factor performance cyclicality, establishes a low-beta effect at the level of factors, and confirms the existence of seasonal and momentum effects in the cross section of factor returns. Altogether, the insights into factor behavior aid the development of more robust factor-based investment strategies.