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Anomalies and the Expected Market Return
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 Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana (Koleksi Majalah) | 1 |
| Penerbit | USA The American Finance Asoociation., 2022 |
|---|---|
| Edisi | Volume 77, Issue 1, February 2022, Pages 639-681 |
| Subjek | Stock markets Market return Stock Return Predictability |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | First Published : 06 December 2021 |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |
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