A Taxonomy of Anomalies and Their Trading Costs

We study the after-trading-cost performance of anomalies and the effectiveness of transaction cost mitigation techniques. Introducing a buy/hold spread, with more stringent requirements for establishing positions than for maintaining them, is the most effective cost mitigation technique. Most anomal...

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Veröffentlicht in:	The Review of financial studies 2016-01, Vol.29 (1), p.104-147
Hauptverfasser:	Novy-Marx, Robert, Velikov, Mihail
Format:	Artikel
Sprache:	eng
Schlagworte:	Cost estimates Costs Effectiveness studies Financial portfolios Investors Market capitalization Price momentum Profitability Securities trading Special Section: Meta-Analysis of Market Anomalies Spread Stock exchanges Stock prices Stock transactions Trade Transaction costs
Online-Zugang:	Volltext
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