The Correlation Structure of Anomaly Strategies

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dc.contributor.author Lu, Helen en
dc.contributor.author Geertsema, Paul en
dc.date.accessioned 2020-09-08T02:07:06Z en
dc.date.available 2020-09-08T02:07:06Z en
dc.date.issued 2020-08-15 en
dc.identifier.citation Journal of Banking and Finance 119:39 pages Article number 105934 Oct 2020 en
dc.identifier.issn 0378-4266 en
dc.identifier.uri http://hdl.handle.net/2292/52792 en
dc.description.abstract We consolidate a large number of mean-significant anomalies into cluster portfolios. More than a third of cluster portfolios remain significant under the Hou et al. (2020) five-factor model — the best performing among six benchmark models tested. A best-first search yields nine factors that subsume all cluster portfolios as well as all significant anomalies, demonstrating the feasibility of a parsimonious description of average realised returns. The expected growth factor (EG) and a cluster portfolio linked to accruals are prominent factors that improve pricing performance. The search-generated model produces a monthly maximum squared Sharpe ratio of 0.51, considerably higher than current benchmark models. en
dc.publisher Elsevier en
dc.relation.ispartofseries Journal of Banking and Finance en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. en
dc.rights.uri https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm en
dc.rights.uri https://creativecommons.org/licenses/by-nc-nd/4.0/ en
dc.title The Correlation Structure of Anomaly Strategies en
dc.type Journal Article en
dc.identifier.doi 10.1016/j.jbankfin.2020.105934 en
dc.rights.holder Copyright: Elsevier en
pubs.author-url https://www.sciencedirect.com/science/article/abs/pii/S0378426620301965 en
dc.rights.accessrights http://purl.org/eprint/accessRights/OpenAccess en
pubs.subtype Article en
pubs.elements-id 810714 en
pubs.org-id Business and Economics en
pubs.org-id Accounting and Finance en
pubs.record-created-at-source-date 2020-08-21 en
pubs.online-publication-date 2020-08-15 en


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