Chaojun Yang

Shanghai Jiao Tong University (SJTU)

1954 Huashan Rd

Shanghai, 200030

China

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Portfolio Turnover when IC is Time Varying

Number of pages: 28 Posted: 13 Feb 2018 Last Revised: 06 Jan 2020
Zhuanxin Ding, Doug Martin and Chaojun Yang
Bloomberg LP, University of Washington and Shanghai Jiao Tong University (SJTU)
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Abstract:

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turnover, leverage, factor model, conditional mean forecast, conditional forecast error covariance matrix, transfer coefficient, fundamental law of active management