研究成果 Social Proximity to Capital: Implications for Investors and Firms with Theresa Kuchler, Lin Peng, Johannes Stroebel, and Dexin Zhou Review of Financial studies,Forthcoming Anomalies and the Expected Market Return with ...
We provide the first systematic evidence on the link between long﹕hort anomaly portfolio returns—a cornerstone of the cross﹕ectional literature—and the time﹕eries predictability of the aggregate market excess return. Using 100 representative anomalies from the literature, we employ a variety of ...
摘要: We provide the first systematic evidence on the link between long-short anomaly portfolio returns—a cornerstone of the cross-sectional literature—and the time-s关键词: Out-of-sample predictability Market excess return Long-short anomaly portfolio return Machine learning Limits of arbitrage ...
We find that spreads based on either market beta or firm size exhibit relations to sentiment very similar to those of the 11 anomalies, suggesting that these return spreads at least partially reflect sentiment-related mispricing along the lines hypothesized. In contrast, we do not find the same ...
A market has to be large andliquid. Accessibility and cost information must be widely available and released to investors at more or less the same time. Transaction costs have to be cheaper than an investment strategy's expected profits. Investors must also have enough funds to take advantage ...
announced earnings that the market was not expecting. Positive earnings surprise, higher-than-expected earnings, often lead to a higher return on the stock post announcement. Investors could exploit this anomaly by buying positive earnings to surprise firms and selling negative earnings to surprise ...
The following are anomalies based on fundamentals and value that have been documented to outperform the market in long-term studies. The effects are related to varying degrees and investors using the different techniques will commonly select many of the same stocks. Low Price to Book A classic ...
1.2.1 Is it there in the first place? (I) 前者的代表是 Novy-Marx and Velikov (2022),该文以 Betting Against Betting Against Beta (BABAB)为题对 BAB 进行了抨击,指出 BAB 构造中存在三个异常之处,而这些异常造就了这个异象。这三个异常之处是:(1)构造组合时使用 rank weighting;(2)通过杠杆进行...
In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return. We find that there is a negative (positi...
On the other hand, the widespread use of genome-wide sequencing technology would carry resource implications in overall health economics as well as socio- ethical concerns. The challenges would be further heightened if it is used in non-invasive approaches or moved into the commercial market. It ...