Factor timing in the Chinese stock market

I conduct an exploratory study about the feasibility of factor timing in the Chinese stock market, covering 24 representative and well-identified risk factors in 10 categories from the literature. The long-short portfolio of short-term reversal exhibits strong out-of-sample predictability, which is robust across various models and all types of predictors. This predictability is significant both statistically and economically, with a simple investment strategy obtaining its return three times higher than the buy-and-hold return in the sample period and a significant annualized 20.4% CH-3 alpha. Portfolio historical volatility and market volatility measurement predictors play crucial roles in the reversal factor premium's robust predictability. However, such results are not evident in predicting all other factors' long-short portfolios as well as all factors' long-wing and short-wing portfolios, and this failure cannot be attributed to their exposure to unpredictable market returns.