A Taxonomy of Anomalies and Their Trading Costs

• 成果类型: Article
• 署名作者: Novy-Marx, Robert; Velikov, Mihail
• 署名单位: University of Rochester; Federal Reserve System - USA; Federal Reserve Bank - Richmond
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv063
• 发表日期: 2016
• 页码: 104
• 关键词: BID-ASK SPREAD; cross-section; INVESTMENT; INFORMATION; returns; winners; issues; prices

摘要

We study the after-trading-cost performance of anomalies and the effectiveness of transaction cost mitigation techniques. Introducing a buy/hold spread, with more stringent requirements for establishing positions than for maintaining them, is the most effective cost mitigation technique. Most anomalies with less than 50% turnover per month generate significant net spreads when designed to mitigate transaction costs; few with higher turnover do. The extent to which new capital reduces strategy profitability is inversely related to turnover, and strategies based on size, value, and profitability have the greatest capacity to support new capital. Transaction costs always reduce strategy profitability, increasing data-snooping concerns.