Profitable predictability in the cross section of stock returns

• 成果类型: Article
• 署名作者: Hanna, ID; Ready, MI
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; Southern Methodist University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.12.004
• 发表日期: 2005
• 页码: 463-505
• 关键词: transaction costs; microstructure; EXPECTED RETURN

摘要

Haugen and Baker (1996) report that a long-short stock selection strategy based on more than 50 measures of accounting information and past return behavior would have generated excess returns of approximately 3% per month. We find that the Haugen and Baker strategies do not provide attractive returns after transaction costs if an investor already has access to strategy portfolios based on book-to-market and momentum. We also provide an extensive analysis of transaction costs over a long sample and we report results of independent interest to researchers in market microstructure. (c) 2005 Elsevier B.V. All rights reserved.