Financial Anomalies in Portfolio Construction and Management
检验了1980-1990年代金融异象在1996-2020年间的持续性，发现许多基于基本面、盈利预测和动量策略在美国及非美国市场仍能产生统计显著的超额收益，且非美国市场收益更高。
Financial anomalies have been studied in the United States. Recent evidence suggests that financial anomalies have diminished in the United States and possibly in non-US portfolios. Have the anomalies changed, or are they persistent? Have historical and earnings forecasting data been a consistent, and highly statistically significant, source of excess returns? The authors test many financial anomalies of the 1980s and 1990s and report that several models and strategies continue to produce statistically significant excess returns. The authors test a large set in US and non-US markets over the past 25 years. They report that many of these fundamentals, earnings forecasts, revisions, and breadth and momentum strategies maintained their statistical significance during the 1996–2020 time period. Moreover, the earnings forecasting model and robust regression estimated composite model excess returns are greater in non-US and global markets than in US markets. <b>TOPICS:</b>Security analysis and valuation, emerging, performance measurement <b>Key Findings</b> ▪ The authors verify the continuity of financial anomalies in the post-publication period. ▪ The authors use composite modeling methodology to estimate expected returns. ▪ The authors use robust regression to address the outliers and issues in the data.