130945 20240205160603.0 doi 10.1016/j.irfa.2018.01.007 sideral 104451 ART-2018-104451 eng Zaremba, Adam Paper profits or real money? Trading costs and stock market anomalies in country ETFs 2018 Access copy available to the general public Unrestricted Are 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. info:eu-repo/semantics/openAccess All rights reserved http://www.europeana.eu/rights/rr-f/ 1.693 2018 BUSINESS, FINANCE 45 / 103 = 0.437 2018 Q2 T2 0.782 2018 Finance 2018 Q1 Economics and Econometrics 2018 Q1 info:eu-repo/semantics/article info:eu-repo/semantics/acceptedVersion Andreu Sánchez, Laura Universidad de Zaragoza (orcid)0000-0003-3661-5448 4002 230 Universidad de Zaragoza Dpto. Contabilidad y Finanzas Área Economía Finan. y Contab. 56 (2018), 181-192 Int. rev. financ. anal. International review of financial analysis 1057-5219 1143949 http://zaguan.unizar.es/record/130945/files/texto_completo.pdf Postprint 1142820 http://zaguan.unizar.es/record/130945/files/texto_completo.jpg?subformat=icon icon Postprint oai:zaguan.unizar.es:130945 articulos driver 2024-02-05-16:03:06 ARTICLE