Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for March 2023 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for March 2023 (Final)
1st ETF 2nd ETF 3rd ETF

Stock Return Anomaly Evaluation Tools

February 13, 2023 • Posted in Big Ideas, Equity Premium

How can researchers assess the true value and robustness of new stock return anomalies (predictors) in consideration for addition to the factor zoo? In their January 2023 paper entitled “Assaying Anomalies”, Robert Novy-Marx and Mihail Velikov present a protocol/tool set for dissecting and understanding newly proposed cross-sectional stock return predictors. The tools address the most important issues involved in testing asset pricing strategies, including some machine learning techniques. They pay particular attention to implementation costs that prevent exploitation of predictors with good gross returns (as with high turnover and/or overweighting small stocks). The tool set, including automated report generator, is available as a free web application¬†and a public github repository. Key aspects of reports generated by this tool set are:

(more…)

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates
Login
Questions?