Scaling Up Market Anomalies

31 Pages Posted: 31 Dec 2015 Last revised: 7 Jun 2016

See all articles by Doron Avramov

Doron Avramov

Interdisciplinary Center (IDC) Herzliyah

Si Cheng

Chinese University of Hong Kong - Department of Finance

Amnon Schreiber

Hebrew University of Jerusalem; Bar-Ilan University - Department of Economics

Koby Shemer

AlphaBeta

Date Written: April 28, 2016

Abstract

This paper implements momentum among a host of market anomalies. Our investment universe consists of the 15 top (long-leg) and 15 bottom (short-leg) anomaly portfolios. The proposed active strategy buys (sells short) a subset of the top (bottom) anomaly portfolios based on past one-month return. The evidence shows statistically strong and economically meaningful persistence in anomaly payoffs. Our strategy consistently outperforms a naive benchmark that equal weights anomalies and yields an abnormal monthly return ranging between 1.273% and 1.471%. The persistence is robust to the post-2000 period, and various other considerations, and is stronger following episodes of high investor sentiment.

Keywords: Momentum, anomaly

JEL Classification: G12,G11

Suggested Citation

Avramov, Doron and Cheng, Si and Schreiber, Amnon and Shemer, Jacob, Scaling Up Market Anomalies (April 28, 2016). Journal of Investing, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2709178 or http://dx.doi.org/10.2139/ssrn.2709178

Doron Avramov

Interdisciplinary Center (IDC) Herzliyah ( email )

P.O. Box 167
Herzliya, 46150
Israel

Si Cheng (Contact Author)

Chinese University of Hong Kong - Department of Finance ( email )

12/F, Cheng Yu Tung Building
No.12, Chak Cheung Street
Shatin, N.T.
Hong Kong

HOME PAGE: http://www.bschool.cuhk.edu.hk/index.php/faculty-staff/show-alltest?pid=496&sid=3939:Cheng-Si

Amnon Schreiber

Hebrew University of Jerusalem ( email )

Mount Scopus
Jerusalem, IL Jerusalem 91905
Israel

Bar-Ilan University - Department of Economics ( email )

Ramat-Gan, 52900
Israel

Jacob Shemer

AlphaBeta ( email )

21 Nisim Aloni 3301
Tel Aviv, 66545
Israel

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