Digesting Anomalies: An Investment Approach

  title={Digesting Anomalies: An Investment Approach},
  author={K. Hou and C. Xue and L. Zhang},
  journal={Research Methods & Methodology in Accounting eJournal},
  • K. Hou, C. Xue, L. Zhang
  • Published 2012
  • Business, Economics
  • Research Methods & Methodology in Accounting eJournal
  • An empirical q-factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross section of average stock returns. A comprehensive examination of nearly 80 anomalies reveals that about one-half of the anomalies are insignificant in the broad cross section. More importantly, with a few exceptions, the q-factor model's performance is at least comparable to, and in many cases better than that of the Fama-French (1993) 3… CONTINUE READING
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