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Anomalies and the Expected Market Return

Xi Dong - ; Yan Li - ; David E. Rapach - ; Guofu Zhou - ;

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-series predictability of the aggregate market excess return. Using 100 representative anomalies from the literature, we employ a variety of shrinkage techniques (including machine learning, forecast combination, and dimension reduction) to efficiently extract predictive signals in a high-dimensional setting. We find that long-short anomaly portfolio returns evince statistically and economically significant out-of-sample predictive ability for the market excess return. The predictive ability of anomaly portfolio returns appears to stem from asymmetric limits of arbitrage and overpricing correction persistence.


Ketersediaan

Call NumberLocationAvailable
PSB lt.dasar - Pascasarjana (Koleksi Majalah)1
PenerbitUSA: The American Finance Asoociation 2022
EdisiVolume 77, Issue 1, February 2022, Pages 639-681
SubjekStock markets
Market return
Stock Return Predictability
ISBN/ISSN1540-6261
KlasifikasiNONE
Deskripsi FisikFirst Published : 06 December 2021
Info Detail SpesifikThe Journal of Finance
Other Version/RelatedTidak tersedia versi lain
Lampiran Berkas
  • https://remote-lib.ui.ac.id:2075/10.1111/jofi.13099

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