Anomalies enhanced: A portfolio rebalancing approach
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DOI: 10.1111/fima.12329
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… read more here.
Keywords: anomalies enhanced; enhanced portfolio; portfolio rebalancing; frequency ... See more keywords