financing, drives the following five asset pricing anomalies: (1) the failure-risk anomaly; (2) earnings momentum; (3) the … one rational factor, firm size, and one mispricing factor common to anomalies (1), (2), (3), (5) and, to a lesser extent …

Characteristic-sorted portfolios are the workhorses of modern empirical finance, deployed widely to evaluate anomalies … and construct asset pricing models. We propose a new method for their estimation that is simple to compute; makes no ex … assets. To illustrate the method we use it to evaluate the size, value and momentum anomalies …

anomalies in price behaviour arise from witching by using various parametric (Student's t-test, and ANOVA) and non … detected anomalies give rise to profit opportunities by applying a trading simulation approach. The results suggest the …

Long-short anomaly returns are strongly related to the day of the week. Anomalies for which the speculative leg is the … are large; Monday (Friday) alone accounts for over 100% of returns for all anomalies examined for which the short (long …

robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We …

Anomalies are empirical results that seem to be inconsistent with maintained theories of asset-pricing behavior. They … are documented and analyzed in the academic literature, anomalies often seem to disappear, reverse, or attenuate. This … anomalies were simply statistical aberrations that attracted the attention of academics and practitioners. One of the …