The Race to Exploit Anomalies and the Cost of Slow Trading
In: Journal of Financial Markets, 2022
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In: Journal of Financial Markets, 2022
SSRN
In: The quarterly review of economics and finance, Band 44, Heft 5, S. 636-653
ISSN: 1062-9769
In: Studies in Economics and Finance, (2018), Volume 36, 32-50
SSRN
Working paper
In: The quarterly review of economics and finance, Band 63, S. 315-327
ISSN: 1062-9769
In: Review of financial economics: RFE, Band 39, Heft 2, S. 127-145
ISSN: 1873-5924
AbstractThe distance between short‐ and long‐run moving averages of prices (MAD) predicts future equity returns in the cross section. Annualized value‐weighted alphas from the accompanying hedge portfolios are around 9%, and the predictability goes beyond momentum, 52‐week highs, profitability, and other prominent anomalies. MAD‐based investment payoffs survive reasonable trading costs faced by institutions, and are stronger on the long side relative to the short counterpart.
In: Management Science, forthcoming
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Working paper
In: Review of Financial Economics, Forthcoming
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Working paper