Real-Time Profitability of Published Anomalies: An Out-of-Sample Test

Posted: 4 Feb 2008 Last revised: 27 Mar 2017

See all articles by Zhijian (James) Huang

Zhijian (James) Huang

Rochester Institute of Technology (RIT) - Department of Accounting and Finance

Multiple version iconThere are 2 versions of this paper

Date Written: February 11, 2008

Abstract

Previous studies show mixed results about the out-of-sample performance of various asset-pricing anomalies. To remove data-snooping bias, this paper simulates a real-time trader who chooses among all asset-pricing anomalies published prior to that time using only non-forward-looking filters. I find that a trader can outperform the market by recursively picking the best past performer among published anomalies. The excess return tends to be highest when the trader looks at past performances between two years and five years and when the trader considers more anomalies. Relying only on the then-available anomaly literature and historical data, the overall result shows a possible way to beat the market in real time.

Keywords: Data-snooping Bias, Asset-pricing Anomalies, Out-of-sample Test, Published Anomalies

JEL Classification: G11, G14, D83

Suggested Citation

Huang, Zhijian, Real-Time Profitability of Published Anomalies: An Out-of-Sample Test (February 11, 2008). Available at SSRN: https://ssrn.com/abstract=1089579 or http://dx.doi.org/10.2139/ssrn.1089579

Zhijian Huang (Contact Author)

Rochester Institute of Technology (RIT) - Department of Accounting and Finance ( email )

College of Business
105 Lomb Memorial Drive
Rochester, NY 14623-5608
United States

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