Expensive anomalies

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2023-11-03 DOI:10.1016/j.jempfin.2023.101440

Deniz Anginer , Sugata Ray , H. Nejat Seyhun , Luqi Xu

引用次数: 0

Abstract

We show that thirteen well-known stock market anomalies have higher future abnormal returns when they exhibit a value orientation with respect to their historical levels. We find anomalies that exhibit a value orientation (cheap) outperform anomalies that exhibit a growth orientation (expensive) going forward by about 30 basis points (bps) per month. Furthermore, we find favorable anomalies based on combined value and momentum orientations outperform unfavorable anomalies by about 90 bps per month and exhibit more than double the Sharpe ratios. Alternatively, over 96 % of the dollar return for the 13 anomalies disappears when they have negative-momentum and expensive orientations.

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昂贵的异常

我们发现，当13个著名的股票市场异常表现出相对于其历史水平的价值取向时，它们具有更高的未来异常回报。我们发现，表现为价值导向(便宜)的异常表现，比表现为增长导向(昂贵)的异常表现每月高出约30个基点(bps)。此外，我们发现基于综合价值和动量方向的有利异常比不利异常每月高出约90个基点，并表现出两倍以上的夏普比率。另外，当13个异常情况出现负动量和昂贵方向时，超过96%的美元回报会消失。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.