Review of Financial Studies, January 2016, v. 29, iss. 1, pp. 104-47

對異象及其交易成本的分類方法

作者：Novy-Marx, Robert; Velikov, Mihail

摘要：我們研究了剔除交易成本後，異象的表現以及降低交易成本技術的有效性。在建倉比持有擁有更迫切需求這一情況下，引入一個買入或者持有差價是最有效的降低成本的技術。大部分每月換手率小于50%、旨在降低交易成本的異象會産生明顯的淨利差；而較高換手率的異象很少有淨利差。新資本降低策略收益性的程度與換手率負相關，且基于規模、價值以及收益性的策略最有能力支持新資本。交易成本總是會降低策略的收益性，增加對數據探測的擔憂。

A Taxonomy of Anomalies and Their Trading Costs

Novy-Marx, Robert; Velikov, Mihail

ABSTRACT

We study the after-trading-cost performance of anomalies and the effectiveness of transaction cost mitigation techniques. Introducing a buy/hold spread, with more stringent requirements for establishing positions than for maintaining them, is the most effective cost mitigation technique. Most anomalies with less than 50% turnover per month generate significant net spreads when designed to mitigate transaction costs; few with higher turnover do. The extent to which new capital reduces strategy profitability is inversely related to turnover, and strategies based on size, value, and profitability have the greatest capacity to support new capital. Transaction costs always reduce strategy profitability, increasing data-snooping concerns.

原文鍊接：https://www.researchgate.net/publication/287110995_A_Taxonomy_of_Anomalies_and_Their_Trading_Costs

翻譯：孫雨琦