Aggregating Anomalies

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

Topic: Aggregating Anomalies

Speaker: Heiko Jacobs, Universität Duisburg-Essen

Abstract: I evaluate the performance of several composite mispricing approaches aiming at synthesizing the information of the 380 individual cross-sectional anomalies in my global sample. Relative to the typical anomaly, aggregation techniques on average more than triple abnormal return predictability, both in the U.S. and nine large international stock markets. Mispricing also appears to be pronounced among large stocks, in the recent past, constructed from already published anomalies only, or benchmarked against recently proposed asset pricing models. Collectively, these and further findings suggest that abnormal cross-sectional return predictability across the world is unlikely to be spurious.

Date: Wednesday, 26 February 2020
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
              Building 8, Room 08.002, Dr Chau Chak Wing Building
              Dr Chau Chak Wing Building
              14 - 28 Ultimo Road, Ultimo

Co-ordinator: Claire Liu  (Ph: +61 2 9514 7748)

Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)

Back to Finance seminars
Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.