Assaying Anomalies

36 Pages Posted: 26 Jan 2023

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: January 25, 2023


We propose a protocol for testing potential cross-sectional predictors of equity returns, and describe turn-key tools for implementing this protocol. These tools are not completely exhaustive, but identify the most important issues that arise in common tests of asset pricing strategies. They go far beyond the direct inferences available from the simple tests commonly employed using standard linear factor models, paying particular attention to arbitrage limits, which can make strategies that are impossible to exploit in practice look good on paper. These tools provide a thorough, transparent analysis, along the lines of a referee report, with little more effort than pushing a button.

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

JEL Classification: G11, G12, G14

Suggested Citation

Novy-Marx, Robert and Velikov, Mihail, Assaying Anomalies (January 25, 2023). 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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