Replication Data for: Interaction Anomalies

NIAID Data Ecosystem2026-05-02 收录

金融异常交互

资产定价异象

数据链接：

https://doi.org/10.7910/DVN/DZ7QXW 数据链接链接失效反馈

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资源简介：

This package replicates the analysis in the paper "Interacting Anomalies" by Karsten Müller and Simon Schmickler.

创建时间：

2024-10-31

Momentum, Reversals, and Investor Clientele

行为金融

资产定价异象

Different share classes on the same firms provide a natural experiment to explore how investor clienteles affect momentum and short-term reversals. Domestic retail investors have a greater presence in

NBER2021-11-01 更新100

Costly External Finance: Implications for Capital Markets Anomalies

资产定价异象

金融摩擦与投资

In a frictionless world, investment is perfectly elastic to changes in the discount rate. With financial frictions, investment is less elastic, meaning that a given magnitude of change in investment i

NBER2008-09-01 更新70

Estimating The Anomaly Base Rate

资产定价异象

显著性检测

The academic literature literally contains hundreds of variables that seem to predict the cross-section of expected returns. This so-called "anomaly zoo" has caused many to question whether researcher

NBER2019-11-01 更新30

The History of the Cross Section of Stock Returns

资产定价异象

金融实证检验

Using data spanning the 20th century, we show that most accounting-based return anomalies are spurious. When examined out-of-sample by moving either backward or forward in time, anomalies' average ret

NBER2016-12-01 更新80

Does Risk Explain Anomalies? Evidence from Expected Return Estimates

资产定价异象

量化投资策略

We construct accounting-based costs of equity for dollar neutral long-short trading strategies formed on a comprehensive list of anomaly variables. These variables include book-to-market, size, compos

NBER2010-04-01 更新40

Replication Data for: Interaction Anomalies

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