Previous studies document that size effect, value effect, and price momentum do not always exist and be completely explained by rational asset pricing model. Therefore, the passive investment strategies forming by buying in small size stock or value stock can not generate the best performance. This study adopts predetermined variable regarding risk and investor sentiment to estimate time-varying expected return, and then implement style rotating strategy. The results show that active style rotation strategies outperform the passive style investment strategies; especially, regardless of the market volatility the value style rotation strategy have steady and outstanding performance. |