Anomalies enhanced: A portfolio rebalancing approach
研究了两种动态交易策略，每月对异常投资组合进行再平衡，发现对于八个主要异常，动态策略显著提升了经济价值，Fama-French五因子alpha每月提高0.40%至0.75%。
Abstract Many anomalies are based on firm characteristics and rebalanced yearly ignoring any information during the year. In this paper, we provide two dynamic trading strategies to rebalance anomaly portfolios monthly. For eight major anomalies, we find that dynamic trading strategies substantially enhance their economic value with improvements in the Fama and French five‐factor alpha ranging from 0.40% to 0.75% per month. Our findings indicate that many well‐known anomalies can be more profitable than previously thought if managed with our dynamic trading strategies. This much improved performance, which relies on both the anomalies and the trading strategies, raises a new challenge for theoretical explanations.