Digesting Anomalies: An Investment Approach
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ID: 290547
2014
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Abstract
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.
| Reference Key |
openalex_W3125206904
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|---|---|
| Authors | Kewei Hou, Xue Chen, Lu Zhang |
| Journal | review of financial studies |
| Year | 2014 |
| DOI |
10.1093/rfs/hhu068
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| URL | |
| Keywords | Keywords not found |
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