Anomalies and Their Short‐Sale Costs
研究发现，卖空成本消除了资产定价异象组合的超常收益。在考虑卖空成本前，许多异象在样本外仍存在，但由于股票借贷费用，无法通过多空策略获利。
ABSTRACT Short‐sale costs eliminate the abnormal returns on asset pricing anomaly portfolios. While many anomalies persist out‐of‐sample before accounting for short‐sale costs, they cannot be exploited with long‐short strategies due to stock borrow fees. Using a comprehensive sample of 162 anomalies, the average long‐short portfolio return is a significant 0.14% per month before short‐sale costs, and the returns are due to the short leg. However, the average is −0.01% once returns are adjusted for borrow fees. Moreover, anomalies are not profitable even before fees if the high‐fee observations, representing 12% of stock dates, are excluded from the analysis.