Before revision:  We find a clear exception to this rule: trend following (and perhaps the Fama-French "High minus Low"), that has positive skewness and positive excess returns , suggesting that some strategies are not risk premia but genuine market anomalies.
After revision:  We find a clear exception to this rule: trend following (and perhaps the Fama-French "High minus Low"), that has positive skewness and positive excess returns . This is also true, albeit less markedly, of the Fama-French ``Value'' factor and of the ``Low Volatility'' strategy. This suggests that some strategies are not risk premia but genuine market anomalies.