Anomalies and Their Short-Sale Costs

• 成果类型: Article; Early Access
• 署名作者: Muravyev, Dmitriy; Pearson, Neil D.; Pollet, Joshua M.
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13501
• 发表日期: 2025
• 关键词: cross-section; institutional investors; LIMITED ARBITRAGE; stocks; performance; volatility; MARKET; RISK

摘要

Short-sale costs eliminate the abnormal returns on asset pricing anomaly portfolios. While many anomalies persist out-of-sample before accounting for short-sale costs, they cannot be exploited with long-short strategies due to stock borrow fees. Using a comprehensive sample of 162 anomalies, the average long-short portfolio return is a significant 0.14% per month before short-sale costs, and the returns are due to the short leg. However, the average is -0.01% once returns are adjusted for borrow fees. Moreover, anomalies are not profitable even before fees if the high-fee observations, representing 12% of stock dates, are excluded from the analysis.