What you see is not what you get: The costs of trading market anomalies

• 成果类型: Article
• 署名作者: Patton, Andrew J.; Weller, Brian M.
• 署名单位: Duke University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.02.012
• 发表日期: 2020
• 页码: 515-549
• 关键词: trading costs; Performance evaluation; Mutual funds; market efficiency

摘要

Is there a gap between the profitability of a trading strategy on paper and that which is achieved in practice? We answer this question by developing a general technique to measure the real-world implementation costs of financial market anomalies. Our method extends Fama-MacBeth regressions to compare the on-paper returns to factor exposures with those achieved by mutual funds. Unlike existing approaches, ours delivers estimates of all-in implementation costs without relying on parametric microstructure models or explicitly specified factor trading strategies. After accounting for implementation costs, typical mutual funds earn low returns to value and no returns to momentum. (C) 2020 Published by Elsevier B.V.