Zeroing In on the Expected Returns of Anomalies
研究通过考虑买卖价差、发表后效应和现代交易技术，发现基于204个股市异象的多空组合预期收益极低，平均每月仅4个基点。
Abstract We zero in on the expected returns of long-short portfolios based on 204 stock market anomalies by accounting for i) effective bid–ask spreads, ii) post-publication effects, and iii) the modern era of trading technology that began in the early 2000s. Net of these effects, the average anomaly’s expected return is a measly 4 bps per month. The strongest anomalies net, at best, 10 bps after controlling for data mining. Several methods for combining anomalies net around 20 bps. Expected returns are negligible despite cost mitigations that produce impressive net returns in-sample and the omission of additional trading costs, like price impact.