Digesting Anomalies: An Investment Approach

• 成果类型: Article
• 署名作者: Hou, Kewei; Xue, Chen; Zhang, Lu
• 署名单位: University System of Ohio; Ohio State University; University System of Ohio; University of Cincinnati; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu068
• 发表日期: 2015
• 页码: 650
• 关键词: cross-section; stock returns; corporate-investment; ANALYSTS FORECASTS; FULLY REFLECT; market value; earnings; RISK; accruals; prices

摘要

An empirical -factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross section of average stock returns. A comprehensive examination of nearly 80 anomalies reveals that about one-half of the anomalies are insignificant in the broad cross section. More importantly, with a few exceptions, the -factor model's performance is at least comparable to, and in many cases better than that of the Fama-French (1993) 3-factor model and the Carhart (1997) 4-factor model in capturing the remaining significant anomalies.