Anomaly Predictability with the Mean-Variance Portfolio
Discussed above - the study suggests that past pricing errors can predict future anomaly returns, indicating that cross-sectional models should include price information to track return dynamics over time.
Featured in No. 9 on 26 Jul 2023 · 6 days after release · 0 citations today
- Released
- 20 Jul 2023
- First featured
- No. 9 · 26 Jul 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 7
- Identifier
- SSRN 4516438
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).