Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.12216/234
Title: Paper profits or real money? Trading costs and stock market anomalies in country ETFs
Authors: Adam Zaremba 
Andreu, L. 
Issue Date: Jan-2018
Publisher: Elsevier Inc.
Journal: International Review of Financial Analysis 
Abstract: Are the quantitative equity strategies for country selection robust to implementation costs? To answer this question, we conduct a comprehensive examination of the country-level strategies so far. We review, classify, and replicate 120 equity anomalies within a sample of 42 country equity indices for the years 1996–2017. Next, using ETF price and spread data, we test the effect of real-life conditions and trading costs on the anomaly performance. We also examine three cost-mitigation strategies: infrequent rebalancing, capitalization-based weighting, and focus on low-cost securities. We find that 46% of the long-only monthly rebalanced anomaly portfolios display significant alphas, concentrated strongly among strategies based on value, momentum, and liquidity. The effect of transaction costs proves largely lethal to returns, leaving only a handful of anomalies profitable. Less frequent rebalancing (annually) helps to regain the effectiveness of the strategies, increasing the monthly alphas on the long-only anomaly portfolios to 0.44% on average. © 2018 Elsevier Inc.
URI: http://hdl.handle.net/20.500.12216/234
DOI: 10.1016/j.irfa.2018.01.007
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85041629546&doi=10.1016%2fj.irfa.2018.01.007&partnerID=40&md5=dee8681f38e008d42fa827214d05215f
Appears in Collections:Articles

Show full item record

SCOPUSTM   
Citations

2
Last Week
0
Last month
0
checked on Aug 14, 2019

Page view(s)

9
Last Week
0
Last month
0
checked on Aug 5, 2019

Google ScholarTM

Check

Altmetric

Altmetric


Items in Corepaedia are protected by copyright, with all rights reserved, unless otherwise indicated.