Scaling Up Market Anomalies

D. Abramov, S. Cheng, A. Schreiber, K. Shemer

Research output: Contribution to journalArticlepeer-review


This paper implements momentum among a host of market anomalies. Our investment universe consists of the 15 top (long-leg) and 15 bottom (short-leg) anomaly portfolios. The proposed active strategy buys (sells short) a subset of the top (bottom) anomaly portfolios based on past one-month return. The evidence shows statistically strong and economically meaningful persistence in anomaly payoffs. Our strategy consistently outperforms a naive benchmark that equal weights anomalies and yields an abnormal monthly return ranging between 1.273% and 1.471%. The persistence is robust to the post-2000 period, and various other considerations, and is stronger following episodes of high investor sentiment.
Original languageAmerican English
Pages (from-to)89-105
Number of pages17
JournalJournal of Investing
Issue number3
StatePublished - 2017


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