Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 程斯教授 (金融学系) |
全文
| 出版商提供的全文 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2709178 |
其它资讯
摘要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 1.273% and 1.471%. The persistence is robust to the post-2000 period, and various other considerations, and is stronger following episodes of high investor sentiment.
着者AVRAMOV Doron, CHENG Si, SCHREIBER Amnon, SHEMER Koby
期刊名称Journal of Investing
出版年份2016
出版社Institutional Investor Inc.
国际标準期刊号1068-0896
语言英式英语
