Scaling up Market Anomalies
| Autor: | Doron Avramov, Amnon Schreiber, Si Cheng, Koby Shemer |
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| Rok vydání: | 2017 |
| Předmět: | |
| Zdroj: | The Journal of Investing. 26:89-105 |
| ISSN: | 2168-8613 1068-0896 |
| DOI: | 10.3905/joi.2017.26.3.089 |
| Popis: | This study investigates momentum among a host of market anomalies. Using an investment universe consisting of the 15 top (long-leg) and 15 bottom (short-leg) anomaly portfolios, the authors study an active strategy that buys (sells short) a subset of the top (bottom) anomaly portfolios based on past one-month return. The evidence shows statistically strong and economically meaningful persistence in anomaly payoffs. This strategy consistently outperforms a naive benchmark that equal weights anomalies and yields an abnormal monthly return ranging between 1.273% and 1.471%. The persistence is robust to the post-2000 period and various other considerations and is stronger following episodes of high investor sentiment. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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