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 has both positive skewness and positive excess returns , suggesting that some strategies are not risk premia but genuine market anomalies.