Value and Momentum in Anomalies

63 Pages Posted: 9 Mar 2020

See all articles by Deniz Anginer

Deniz Anginer

Simon Fraser University (SFU)

Sugata Ray

University of Alabama - Department of Economics, Finance and Legal Studies

H. Nejat Seyhun

University of Michigan, Stephen M. Ross School of Business

Luqi Xu

University of Alabama - Department of Economics, Finance and Legal Studies

Date Written: February 13, 2020

Abstract

We document value and momentum across thirteen well-known stock market anomalies. We find anomalies that have performed well in the past month continue to outperform those that have performed poorly by about 60bp per month. These results hold for both relative momentum and absolute momentum across the anomalies. Similarly, we investigate future abnormal returns when anomalies exhibit a value or growth orientation with respect to historical levels. We find anomalies that exhibit a value orientation outperform anomalies that exhibit a growth orientation going forward by about 30bp per month. Furthermore, we find favorable anomalies based on combined momentum and value principles outperform unfavorable anomalies by about 90 bp per month. Our findings further corroborate the hypothesis that mispricing is an important source of anomaly profits.

Keywords: Anomaly, Momentum, value effect

JEL Classification: G11, G12

Suggested Citation

Anginer, Deniz and Ray, Sugata and Seyhun, H. Nejat and Xu, Luqi, Value and Momentum in Anomalies (February 13, 2020). Available at SSRN: https://ssrn.com/abstract=3537724 or http://dx.doi.org/10.2139/ssrn.3537724

Deniz Anginer

Simon Fraser University (SFU) ( email )

8888 University Drive
Burnaby, British Columbia V5A 1S6
Canada

Sugata Ray

University of Alabama - Department of Economics, Finance and Legal Studies ( email )

P.O. Box 870244
Tuscaloosa, AL 35487
United States

H. Nejat Seyhun

University of Michigan, Stephen M. Ross School of Business ( email )

701 Tappan Street
Ann Arbor, MI MI 48109
United States
734-763-5463 (Phone)

Luqi Xu (Contact Author)

University of Alabama - Department of Economics, Finance and Legal Studies ( email )

P.O. Box 870244
Tuscaloosa, AL 35487
United States

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