Our website will undergo scheduled maintenance on the morning of Thursday, August 11, 2022. During this time, connection to our website and some of its features may be unavailable. Thank you for your patience and we apologize for any inconvenience.

Search Results

Showing results 1 to 1 of approximately 1.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Anomaly zoo 

Working Paper
Zeroing in on the Expected Returns of Anomalies

We zero in on the expected returns of long-short portfolios based on 120 stock market anomalies by accounting for (1) effective bid-ask spreads, (2) post-publication effects, and (3) the modern era of trading technology that began in the early 2000s. Net of these effects, the average anomaly's expected return is a measly 8 bps per month. The strongest anomalies return only 10-20 bps after accounting for data-mining with either out-of-sample tests or empirical Bayesian methods. Expected returns are negligible despite cost optimizations that produce impressive net returns in-sample and the ...
Finance and Economics Discussion Series , Paper 2020-039

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

G10 1 items

G11 1 items

G12 1 items

G14 1 items

FILTER BY Keywords

PREVIOUS / NEXT