Assaying Anomalies

40 Pages Posted: 26 Jan 2023 Last revised: 13 Feb 2024

See all articles by Robert Novy-Marx

Robert Novy-Marx

Simon Business School, University of Rochester; National Bureau of Economic Research (NBER)

Mihail Velikov

Pennsylvania State University

Date Written: February 13, 2024


We propose a protocol for testing potential cross-sectional predictors of equity returns, and describe turn-key tools for democratizing the implementation of protocol with little more effort than pushing a button. Our free-to-use web application automatically generates an online appendix with text, tables, and figures, analyzing the performance of a candidate cross-sectional return predictor. The tests in our protocol go far beyond the direct inferences available from standard linear factor models, identifying issues that commonly arise testing equity strategies, paying particular attention to arbitrage limits that can make a strategy look good on paper even when if cannot be profitably traded in practice. It also identifies similar anomalies and places the proposed predictor in the context of the now extensive “factor zoo.”

Keywords: Anomalies, Performance Evaluation, Trading Costs, Factor Models

JEL Classification: G11, G12, G14

Suggested Citation

Novy-Marx, Robert and Velikov, Mihail, Assaying Anomalies (February 13, 2024). Available at SSRN: or

Robert Novy-Marx

Simon Business School, University of Rochester ( email )

Rochester, NY 14627
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Mihail Velikov (Contact Author)

Pennsylvania State University ( email )

University Park
State College, PA 16802
United States

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