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 |
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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 |
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dc.type |
Journal Article |
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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 |