Abstract

http://ssrn.com/abstract=2138547
 
 

Citations (2)



 


 



Which Anomalies Are More Popular? And Why?


Byoung-Hyoun Hwang


Cornell University - Dyson School of Applied Economics and Management; Korea University - Department of Finance

Baixiao Liu


Florida State University

March 22, 2014


Abstract:     
We test, for a wide set of accounting-based anomalies, which anomalies attract the most arbitrage efforts and what this reveals about arbitrageurs’ decision-making process. Arbitrage involvement is inferred via changes in short interest when a security falls into the “short leg” of an anomaly strategy, and we provide evidence that this method succeeds in capturing arbitrage activity. Our evidence suggests that there are striking differences in anomaly popularity and that preference is given to strategies with high Sharpe Ratios and low correlations with other anomaly strategies.

Number of Pages in PDF File: 41

Keywords: Anomalies, Arbitrage Activity

JEL Classification: G11, G12, G14, M41

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Date posted: August 30, 2012 ; Last revised: March 23, 2014

Suggested Citation

Hwang, Byoung-Hyoun and Liu, Baixiao, Which Anomalies Are More Popular? And Why? (March 22, 2014). Available at SSRN: http://ssrn.com/abstract=2138547 or http://dx.doi.org/10.2139/ssrn.2138547

Contact Information

Byoung-Hyoun Hwang (Contact Author)
Cornell University - Dyson School of Applied Economics and Management ( email )
Ithaca, NY
United States
HOME PAGE: http://www.bhwang.com
Korea University - Department of Finance
Seoul, 136-701
Korea
Baixiao Liu
Florida State University ( email )
Tallahasse, FL 32306
United States

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