Anomalies Link
The research shows that the returns of portfolios based on long-short anomalies can predict overall market returns, due to the persistence of overpricing correction and asymmetric limits of arbitrage.
Featured in No. 56 on 10 Jul 2024 ·
- Released
- 5 Jul 2022
- First featured
- No. 56 · 10 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 116
- Identifier
- RePEc:bla:jfinan:v:77:y:2022:i:1:p:639-681
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).