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Scaling up Market Anomalies

Doron Avramov, Si Cheng, Amnon Schreiber and Koby Shemer
The Journal of Investing Fall 2017, 26 (3) 89-105; DOI: https://doi.org/10.3905/joi.2017.26.3.089
Doron Avramov
is a professor at the Hebrew University of Jerusalem in Jerusalem, Israel
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Si Cheng
is an assistant professor in the Department of Finance at the Chinese University of Hong Kong in Hong Kong
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Amnon Schreiber
is a lecturer at Bar-Ilan University Ramat-Gan in Ramat-Gan, Israel
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Koby Shemer
is a director at AlphaBeta in Tel Aviv, Israel
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Abstract

This study investigates momentum among a host of market anomalies. Using an investment universe consisting of the 15 top (long-leg) and 15 bottom (short-leg) anomaly portfolios, the authors study an active strategy that buys (sells short) a subset of the top (bottom) anomaly portfolios based on past one-month return. The evidence shows statistically strong and economically meaningful persistence in anomaly payoffs. This strategy consistently outperforms a naive benchmark that equal weights anomalies and yields an abnormal monthly return ranging between 1.273% and 1.471%. The persistence is robust to the post-2000 period and various other considerations and is stronger following episodes of high investor sentiment.

TOPICS: Analysis of individual factors/risk premia, equity portfolio management

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The Journal of Investing: 26 (3)
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Fall 2017
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Scaling up Market Anomalies
Doron Avramov, Si Cheng, Amnon Schreiber, Koby Shemer
The Journal of Investing Aug 2017, 26 (3) 89-105; DOI: 10.3905/joi.2017.26.3.089

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Scaling up Market Anomalies
Doron Avramov, Si Cheng, Amnon Schreiber, Koby Shemer
The Journal of Investing Aug 2017, 26 (3) 89-105; DOI: 10.3905/joi.2017.26.3.089
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