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What You See Is Not What You Get: The Costs of Trading Market Anomalies · Study

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ArticleWhat You See Is Not What You Get: The Costs of Trading Market Anomalies

Andrew J. Patton2017

OA

Articlegreen2017

What You See Is Not What You Get: The Costs of Trading Market Anomalies

Andrew J. Patton · Brian Weller

87 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1973Risk, Return, and Equilibrium: Empirical Tests 1970Efficient Capital Markets: A Review of Theory and Empirical Work 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 2002Illiquidity and stock returns: cross-section and time-series effects 1985Continuous Auctions and Insider Trading

Cited by

2023Winners from Winners: A Tale of Risk Factors 2024In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models 2022Risk Price Variation: The Missing Half of Empirical Asset Pricing 2022Shrinking Factor Dimension: A Reduced-Rank Approach 2020The Smart Beta Mirage

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Year2017

Typearticle

Published2017-01-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations87

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2020.02.012

openalex_workW2766612460

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