Aggregating Anomalies

Abstract

I evaluate the performance of several composite mispricing approaches aiming at synthesizing the information of the 380 individual cross-sectional anomalies in my global sample. Relative to the typical anomaly, aggregation techniques on average more than triple abnormal return predictability, both in the U.S. and nine large international stock markets. Mispricing also appears to be pronounced among large stocks, in the recent past, constructed from already published anomalies only, or benchmarked against recently proposed asset pricing models. Collectively, these and further findings suggest that abnormal cross-sectional return predictability across the world is unlikely to be spurious.

Research interests

• Empirical capital  market research
• Behavioral finance
• Asset management,
• Asset pricing

Prof. Dr. Heiko Jacobs' web page.