Do anomalies exist ex ante?
By: Jin Ginger Wu, Lu Zhang
Contributors: Zhang, Lu; National Bureau of Economic Research
Series: NBER working paper series -- working paper 15950; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 15950.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "We estimate accounting-based expected returns to zero-cost trading strategies formed on a wide array of anomaly variables in capital markets research, including book-to-market, size, composite issuance, net stock issues, abnormal investment, asset growth, investment-to-assets, accruals, standardized unexpected earnings, failure probability, return on assets, and short-term prior returns.  The results are striking: the inferences vary dramatically across different expected return estimates, which in turn frequently differ from their average realized returns.  The evidence suggests that either most anomalies do not exist ex ante, or that the current generation of expected return models leaves much to be desired"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 5/11/2010.

Includes bibliographical references.

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