The correlation structure of anomaly strategies
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DOI: 10.1016/j.jbankfin.2020.105934
Abstract: Abstract We consolidate a large number of mean-significant anomalies into cluster portfolios. More than a third of cluster portfolios remain significant under the Hou et al. (2020) five-factor model — the best performing among six benchmark… read more here.
Keywords: finance; correlation structure; structure anomaly; cluster portfolios ... See more keywords