Emptying the Equity Factor Zoo?
December 13, 2017 - Big Ideas, Equity Premium
As described in “Quantifying Snooping Bias in Published Anomalies”, anomalies published in leading journals offer substantial opportunities for exploitation on a gross basis. What profits are left after accounting for portfolio maintenance costs? In their November 2017 paper entitled “Accounting for the Anomaly Zoo: A Trading Cost Perspective”, Andrew Chen and Mihail Velikov examine the combined… Keep Reading