The Capacity of Equity Anomalies
Computing capacity for 35 anomalies reveals that high-alpha long legs support less than $2 billion before trading costs eliminate excess returns, while lower-alpha strategies support billions more.
Featured in No. 133 on 2 Oct 2026 · 6 days after release
- Released
- 26 Sep 2026
- First featured
- No. 133 · 2 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7524338
- Authors
- Doron Avramov et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).