A Taxonomy of Anomalies and Their Trading Costs
研究了交易成本对市场异常策略收益的影响，发现低换手率策略在控制成本后仍能产生显著净收益，而高换手率策略则不然，且交易成本加剧了数据挖掘的担忧。
We study the after-trading-cost performance of anomalies and the effectiveness of transaction cost mitigation techniques. Introducing a buy/hold spread, with more stringent requirements for establishing positions than for maintaining them, is the most effective cost mitigation technique. Most anomalies with less than 50% turnover per month generate significant net spreads when designed to mitigate transaction costs; few with higher turnover do. The extent to which new capital reduces strategy profitability is inversely related to turnover, and strategies based on size, value, and profitability have the greatest capacity to support new capital. Transaction costs always reduce strategy profitability, increasing data-snooping concerns. Received January 28, 2015; accepted September 30, 2015 by Editor Andrew Karolyi.