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Cambridge Finance Workshop - Karsten Müller

Cambridge Finance Workshop Series are usually held on Thursdays during term time. The workshops are an opportunity for those working in finance to present their latest results or papers.
When Nov 26, 2020
from 01:00 PM to 02:00 PM
Contact Name
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Karsten Müller

Authors
Karsten Müller and Simon Schmickler (Princeton University)


Title

Interacting Anomalies

 

Abstract
An extensive literature studies interactions of stock market anomalies using double-sorted portfolios. But given hundreds of known candidate anomalies, examining selected interactions is subject to a data mining critique. In this paper, we conduct a comprehensive analysis of all possible double-sorted portfolios constructed from 102 underlying anomalies. We find hundreds of statistically significant anomaly interactions, even after accounting for multiple hypothesis testing. An out-of-sample trading strategy based on double-sorted portfolios performs on par with state-of-the-art machine learning strategies, suggesting that simple combinations of characteristics can capture a similar amount of variation in expected returns.

 

Project website:

http://www.interactinganomalies.com/

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