Estimating Time-Varying Factor Exposures (Financial Analysts Journal, 2017)
The authors develop a methodology to estimate dynamic factor loadings using cross-sectional risk characteristics. Applying it to a dataset of US-domiciled mutual funds, they distinguish the components of active returns attributable to (1) constant factor exposures (e.g., a tilt to value stocks), (2) time-varying factor exposures, and (3) security ...
