Scaling Up Market Anomalies

Doron Avramov, Si Cheng, Amnon Schreiber, Koby Shemer

Research output: Working paper

Abstract

This paper implements momentum among a host of market anomalies. Our investment universe consists of the 15 top (long-leg) and 15 bottom (short-leg) anomaly portfolios. The proposed active strategy 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. Our strategy consistently outperforms a naive benchmark that equal weights anomalies and yields an abnormal monthly return ranging between 1.27% and 1.47%. The persistence is robust to the post-2000 period, and various other considerations, and is stronger following episodes of high investor sentiment.
Original languageEnglish
Number of pages29
DOIs
Publication statusUnpublished - Dec 2015

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    Avramov, D., Cheng, S., Schreiber, A., & Shemer, K. (2015). Scaling Up Market Anomalies. https://doi.org/10.2139/ssrn.2709178