Robustness Tests for Ten Popular Stock Return Anomalies
March 28, 2011 - Big Ideas, Buybacks-Secondaries, Fundamental Valuation, Momentum Investing, Size Effect, Value Premium
In their March 2011 paper entitled “The Shrinking Space for Anomalies”, George Jiang and Andrew Zhang investigate the robustness of ten well-known anomalies by iteratively “shrinking the stock space” in two ways to determine whether and how the anomalies really work. The ten anomaly variables are: size, book-to-market ratio, momentum, two liquidity measures, idiosyncratic volatility,… Keep Reading