Time‐series and cross‐sectional momentum in anomaly returns
研究发现异常收益的长短组合中存在显著的时间序列和横截面动量，策略能产生超额收益，且不能被传统模型解释，在套利资本稀缺或市场流动性低时更明显，长期会消散但不反转。
Abstract We find strong evidence of time‐series and cross‐sectional momentum in the long–short returns of a comprehensive sample of anomalies. Strategies that exploit such persistence deliver significant abnormal returns that are robust to the stock momentum effect, cannot be explained by traditional asset‐pricing models, and are more pronounced when arbitrage capital is scarcer or market liquidity is lower. Momentum in anomaly returns dissipates but does not reverse, in the long‐run. Our findings are consistent with limits‐to‐arbitrage and slow‐moving capital causing mispricing to persist. Supporting this explanation, we find that both the level and persistence of anomaly returns are positively related to idiosyncratic volatility.