000130945 001__ 130945
000130945 005__ 20240205160603.0
000130945 0247_ $$2doi$$a10.1016/j.irfa.2018.01.007
000130945 0248_ $$2sideral$$a104451
000130945 037__ $$aART-2018-104451
000130945 041__ $$aeng
000130945 100__ $$aZaremba, Adam
000130945 245__ $$aPaper profits or real money? Trading costs and stock market anomalies in country ETFs
000130945 260__ $$c2018
000130945 5060_ $$aAccess copy available to the general public$$fUnrestricted
000130945 5203_ $$aAre the quantitative equity strategies for country selection robust to implementation costs? To answer this question, we conduct a comprehensive examination of the country-level strategies so far. We review, classify, and replicate 120 equity anomalies within a sample of 42 country equity indices for the years 1996–2017. Next, using ETF price and spread data, we test the effect of real-life conditions and trading costs on the anomaly performance. We also examine three cost-mitigation strategies: infrequent rebalancing, capitalization-based weighting, and focus on low-cost securities. We find that 46% of the long-only monthly rebalanced anomaly portfolios display significant alphas, concentrated strongly among strategies based on value, momentum, and liquidity. The effect of transaction costs proves largely lethal to returns, leaving only a handful of anomalies profitable. Less frequent rebalancing (annually) helps to regain the effectiveness of the strategies, increasing the monthly alphas on the long-only anomaly portfolios to 0.44% on average.
000130945 540__ $$9info:eu-repo/semantics/openAccess$$aAll rights reserved$$uhttp://www.europeana.eu/rights/rr-f/
000130945 590__ $$a1.693$$b2018
000130945 591__ $$aBUSINESS, FINANCE$$b45 / 103 = 0.437$$c2018$$dQ2$$eT2
000130945 592__ $$a0.782$$b2018
000130945 593__ $$aFinance$$c2018$$dQ1
000130945 593__ $$aEconomics and Econometrics$$c2018$$dQ1
000130945 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/acceptedVersion
000130945 700__ $$0(orcid)0000-0003-3661-5448$$aAndreu Sánchez, Laura$$uUniversidad de Zaragoza
000130945 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDpto. Contabilidad y Finanzas$$cÁrea Economía Finan. y Contab.
000130945 773__ $$g56 (2018), 181-192$$pInt. rev. financ. anal.$$tInternational review of financial analysis$$x1057-5219
000130945 8564_ $$s1143949$$uhttps://zaguan.unizar.es/record/130945/files/texto_completo.pdf$$yPostprint
000130945 8564_ $$s1142820$$uhttps://zaguan.unizar.es/record/130945/files/texto_completo.jpg?subformat=icon$$xicon$$yPostprint
000130945 909CO $$ooai:zaguan.unizar.es:130945$$particulos$$pdriver
000130945 951__ $$a2024-02-05-16:03:06
000130945 980__ $$aARTICLE