Editor'S choice: : Digesting anomalies: An investment approach

• Autores: Kewei Hou, Chen Xue, Lu Zhang
• Localización: Review of Financial Studies, ISSN-e 1465-7368, Vol. 28, Nº. 3, 2015, págs. 650-705
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Dialnet Métricas: 4 Citas
• Resumen

  • An empirical q-factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross section of average stock returns. A comprehensive examination of nearly 80 anomalies reveals that about one-half of the anomalies are insignificant in the broad cross section. More importantly, with a few exceptions, the q-factor model's performance is at least comparable to, and in many cases better than that of the Fama-French (1993) 3-factor model and the Carhart (1997) 4-factor model in capturing the remaining significant anomalies.