Are Capital Market Anomalies Common to Equity and Corporate Bond Markets?
Equity market factors like size, profitability, and past returns can predict corporate bond returns,
Long-Short
Taking both long and short positions to exploit relative mispricings.
Latest posts — page 5
Market Return Around the Clock
Most stock market gains happen during a four-hour window before European markets open. This paper finds that almost all returns come from this short time period, likely because investors are reacting to overnight news. A simple strategy that trades during this window beats buy-and-hold.
Reimagining Price Trends with AI
Sharpe ratio up to 7.2. A powerful AI-driven approach to price trends, demonstrating that machine learning can outperform traditional technical indicators.
Exploiting Return Seasonalities
Adding a seasonality factor to a portfolio of market, size, value, and momentum increases the Sharpe ratio from 1.04 to 1.67.
Anomalies across the globe: Once public, no longer existent?
The study highlights greater returns in markets with high trading frictions, such as non-US developed and emerging markets.
Investor Inattention and Market Anomalies: How Media Coverage Drives Mispricing
Taking advantage of limited attention in anomaly trading: The average Sharpe ratio documented in the paper is 1.09 (min: 0.62 ROE, max: 4.45 MOM). Top anomalies: MOM (4.45), ROA (2.40), PEAD (1.60), PERF (1.68)—all stronger in low media coverage stocks.
ChronoBERT: Eliminating Lookahead Bias in Financial Text-Based Strategies
Sharpe Ratio (H-L Portfolio): 4.80