Exploiting stochastic dominance to generate abnormal stock returns
基于二阶和三阶随机占优构建零成本投资组合，发现其能产生系统性的统计显著异常收益，且对多种风险因子和交易成本稳健。
In this paper, we construct zero cost portfolios based on second and third degree stochastic dominance and show that they produce systematic, statistically significant, abnormal returns. These returns are robust with respect to the single index CAPM, the Fama-French three-factor model, the Carhart four-factor model, and the liquidity five-factor model. They are also robust with respect to momentum portfolios, transactions costs, varying time periods, and when broken down by a range of risk factors, such as firm size, leverage, age, return volatility, cash flow volatility, and trading volume.