UNIVERSITY OF TECHNOLOGY SYDNEY
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)