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主讲人 |
Drew D. Creal |
简介 |
<p>Portfolio sorts are a popular technique used in finance to study the cross-section of expected returns. However, existing methods are typically limited to including one or two variables at a time, making it difficult to disentangle which characteristics are the most important. We address this problem by developing a new Bayesian factor model with regression tree priors that selects across a large space of characteristics simultaneously. We apply our methods to an unbalanced panel of currency returns. We find that the interest rate differential and FX volatility are the primary drivers of currencies’ betas. Portfolios constructed from the model exhibit a higher Sharpe ratio than the carry trade and can be achieved using information on the VIX, aggregate capital ratio of financial intermediaries, and the global interest rate differential. </p> |
