A Taxonomy of Anomalies and Their Trading Costs

Robert Novy-Marx, Mihail Velikov · 2016 · Review of Financial Studies

IntermediateLFTEmpirical

Most high-turnover anomalies do not survive transaction costs. Simple cost-mitigation rules, like a buy/hold spread, rescue some of them.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: LFT
Data needed: Daily bars Set what data you have
Themes: Execution Factors & momentum
Assets: Equities
Market: US

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Cite

@article{novymarx2016taxonomy,
  author = {Novy-Marx, Robert and Velikov, Mihail},
  title = {{A Taxonomy of Anomalies and Their Trading Costs}},
  journal = {Review of Financial Studies},
  year = {2016},
  doi = {10.1093/rfs/hhv063}
}

Novy-Marx, R., & Velikov, M. (2016). A Taxonomy of Anomalies and Their Trading Costs. Review of Financial Studies. https://doi.org/10.1093/rfs/hhv063