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Many anomalies are based on low frequency attributes, such as annual characteristics, that ignore higher frequency information. In this paper, we provide a simple strategy to incorporate the higher frequency… Click to show full abstract
Many anomalies are based on low frequency attributes, such as annual characteristics, that ignore higher frequency information. In this paper, we provide a simple strategy to incorporate the higher frequency information. We find that there is significant economic value-added. For eight major anomalies, we find that the enhanced anomalies can double the average returns while having similar or lower risks. The results are robust to a number of controls.
Keywords:
anomalies enhanced;
enhanced portfolio;
portfolio rebalancing;
frequency;
rebalancing approach
Journal Title: Financial Management
Year Published: 2020
Link to full text (if available)
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Journal Title: Financial Management
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!