What you see is not what you get: The costs of trading market anomalies

Is there a gap between the profitability of a trading strategy on paper and that which is achieved in practice? We answer this question by developing a general technique to measure the real-world implementation costs of financial market anomalies. Our method extends Fama-MacBeth regressions to compa...

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Veröffentlicht in:	Journal of financial economics 2020-08, Vol.137 (2), p.515-549
Hauptverfasser:	Patton, Andrew J., Weller, Brian M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Financial market Implementation Market efficiency Mutual funds Performance evaluation Profitability Rates of return Regression analysis Securities trading Trading Trading costs
Online-Zugang:	Volltext
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