Speaker
Dr. Mengmeng (Mike) Dong, Assistant Professor of Finance, School of Business, University of California, Riverside
Title
Statistics Seminar Series (Virtual)
Subtitle
Unity is strength: Do Aggregated Anomalies Face a Replication Crisis?
Digital Location
https://msstate.webex.com/msstate/j.php?MTID=m8ce377b82dde20f05e835b18379eff44
Abstract: Using a simple aggregation method from Stambaugh, Yu, and Yuan (2015) and Engelberg, McLean, and Pontiff (2018), major anomalies (i.e., momentum, value-growth, investment, profitability, and trading frictions) clustered under Hou, Xue, and Zhang (2020) categories exhibit significant value-weighted performance in global markets, and they together provide strong out-of-sample predictability on the cross-section of stock returns. Results add new evidence on the factor replication literature and new insight to the difference of predictability between emerging and developed markets.