Name:
Publisher version
View Source
Access full-text PDFOpen Access
View Source
Check access options
Check access options
Publication type
Journal article with impact factorPublication Year
2020Journal
Journal of Banking & FinancePublication Volume
119Publication Issue
October
Metadata
Show full item recordAbstract
We consolidate a large number of mean-significant anomalies into cluster portfolios. More than a third of cluster portfolios remain significant under the Hou et al. (2020) five-factor model — the best performing among six benchmark models tested. A best-first search yields nine factors that subsume all cluster portfolios as well as all significant anomalies, demonstrating the feasibility of a parsimonious description of average realised returns. The expected growth factor (EG) and a cluster portfolio linked to accruals are prominent factors that improve pricing performance. The search-generated model produces a monthly maximum squared Sharpe ratio of 0.51, considerably higher than current benchmark models.Knowledge Domain/Industry
Accounting & Financeae974a485f413a2113503eed53cd6c53
10.1016/j.jbankfin.2020.105934