Style Investing with Bayesian Methods

Abstract

This paper uses Bayesian methods to look at style investing. This paper analyzes the determinants that affect style investing, such as style momentum and predictor variables such as macro variables (e.g. yield spread, inflation, oil prices, etc), and looks at how learning about these variables affects the predictability of returns. I look at the asset allocation implications of these specifications both with Bayesian and non-Bayesian methods.