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dc.contributor.authorBrière, Marie
dc.contributor.authorLehalle, Charles-Albert
dc.contributor.authorNefedova, Tamara
dc.contributor.authorRaboun, Amine
dc.date.accessioned2019-09-10T15:00:16Z
dc.date.available2019-09-10T15:00:16Z
dc.date.issued2019
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19772
dc.language.isoenen
dc.subjectTrading costsen
dc.subjectMarket Impacten
dc.subjectLiquidityen
dc.subjectAnomalies-based Investmentsen
dc.subject.ddc658.8en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelD.D5.D53en
dc.subject.classificationjelG.G1.G14en
dc.titleStock Market Liquidity and the Trading Costs of Asset Pricing Anomaliesen
dc.typeDocument de travail / Working paper
dc.description.abstractenUsing a large database of the US institutional investors’ trades, this paper revisits the question of anomalies-based portfolio transaction costs. The real costs paid by large investors to implement the well-identified size, value, and momentum anomalies are lower than what has been documented in the previous studies. We find that the average investor pays an annual transaction cost of 17bps for size, 24bps for value, and 274bps for momentum. The three strategies generate statistically significant returns of respectively 5.21%, 2.79% and 2.77% after accounting for transaction costs. When the market impact is taken into account, transaction costs reduce substantially the profitability of the well-known anomalies for large portfolios, however, these anomalies remain profitable for average size portfolios. The break-even capacities in terms of fund size are $ 206 billion for size, $ 16.1 billion for value and $ 310 million for momentum.en
dc.publisher.nameSSRN Working Paper Seriesen
dc.identifier.citationpages34en
dc.identifier.urlsitehttps://ssrn.com/abstract=3380239en
dc.contributor.countryeditoruniversityotherFRANCE
dc.subject.ddclabelÉtudes et analyses des marchésen
dc.identifier.citationdate2019-05
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-06-14T09:42:21Z
hal.person.labIds163511
hal.person.labIds203533
hal.person.labIds1032
hal.person.labIds163511
hal.identifierhal-02283349*


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