| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20721 |
| 来源ID | Working Paper 20721 |
| A Taxonomy of Anomalies and their Trading Costs | |
| Robert Novy-Marx; Mihail Velikov | |
| 发表日期 | 2014-12-08 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | This paper studies the performance of a large number of anomalies after accounting for transaction costs, and the effectiveness of several transaction cost mitigation strategies. It finds that introducing a buy/hold spread, which allows investors to continue to hold stocks that they would not actively trade into, is the single most effective simple cost mitigation strategy. Most of the anomalies that we consider with one-sided monthly turnover lower than 50% continue to generate statistically significant net spreads, at least when designed to mitigate transaction costs. Few of the strategies with higher turnover do. In all cases transaction costs reduce the strategies’ profitability and its associated statistical significance, increasing concerns related to data snooping. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w20721 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578396 |
| 推荐引用方式 GB/T 7714 | Robert Novy-Marx,Mihail Velikov. A Taxonomy of Anomalies and their Trading Costs. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
