Journal of Financial Economics Vol. 78 No. 3 2005
Profitable predictability in the cross section of stock returns
Abstract
Haugen and Baker (1996) report that a long-short stock selection strategy based on more than 50 measures of accounting information and past return behavior would have generated excess returns of approximately 3% per month. We find that the Haugen and Baker strategies do not provide attractive returns after transaction costs if an investor already has access to strategy portfolios based on book-to-market and momentum. We also provide an extensive analysis of transaction costs over a long sample and we report results of independent interest to researchers in market microstructure.
- DOI
- 10.1016/j.jfineco.2004.12.004
- Volume
- 78
- Issue
- 3
- Pages
- 463-505
- Language
- en
- Sources
- crossref openalex bibtex:phds-export.bib