large cross-section of anomalies, we find that past pricing errors predict future risk-adjusted anomaly returns. We show …

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 …

comparison to the CAPM. In the case of Croatian stock market, size and B/M factors are not always significant, but on average …

anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the … anomalies. …

We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies …, and intangibles-based anomalies. Yet, there are significant differences in scaled models' performance: HXZ clearly … dominates FF in explaining momentum and profitability anomalies, while the converse holds for value-growth anomalies. Thus, the …