@article {Avramov89, author = {Doron Avramov and Si Cheng and Amnon Schreiber and Koby Shemer}, title = {Scaling up Market Anomalies}, volume = {26}, number = {3}, pages = {89--105}, year = {2017}, doi = {10.3905/joi.2017.26.3.089}, publisher = {Institutional Investor Journals Umbrella}, 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}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/26/3/89}, eprint = {https://joi.pm-research.com/content/26/3/89.full.pdf}, journal = {The Journal of Investing} }