Review of Financial Studies Vol. 28 No. 3 2015
Digesting Anomalies: An Investment Approach
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.
- Volume
- 28
- Issue
- 3
- Pages
- 650-705
- Sources
- bibtex:phds-export.bib