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Zeroing In on the Expected Returns of Anomalies.
- Source :
- Journal of Financial & Quantitative Analysis; May2023, Vol. 58 Issue 3, p968-1004, 37p
- Publication Year :
- 2023
-
Abstract
- We zero in on the expected returns of long-short portfolios based on 204 stock market anomalies by accounting for i) effective bid–ask spreads, ii) post-publication effects, and iii) 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 4 bps per month. The strongest anomalies net, at best, 10 bps after controlling for data mining. Several methods for combining anomalies net around 20 bps. Expected returns are negligible despite cost mitigations that produce impressive net returns in-sample and the omission of additional trading costs, like price impact. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00221090
- Volume :
- 58
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Journal of Financial & Quantitative Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 163518344
- Full Text :
- https://doi.org/10.1017/S0022109022000874