Anomalies enhanced: A portfolio rebalancing approach

Yufeng Han, Dayong Huang and Guofu Zhou

Financial Management, 2021, vol. 50, issue 2, 371-424

Abstract: Many anomalies are based on firm characteristics and rebalanced yearly ignoring any information during the year. In this paper, we provide two dynamic trading strategies to rebalance anomaly portfolios monthly. For eight major anomalies, we find that dynamic trading strategies substantially enhance their economic value with improvements in the Fama and French five‐factor alpha ranging from 0.40% to 0.75% per month. Our findings indicate that many well‐known anomalies can be more profitable than previously thought if managed with our dynamic trading strategies. This much improved performance, which relies on both the anomalies and the trading strategies, raises a new challenge for theoretical explanations.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/fima.12329

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:finmgt:v:50:y:2021:i:2:p:371-424

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0046-3892

Access Statistics for this article

Financial Management is currently edited by William G. Christie

More articles in Financial Management from Financial Management Association International Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().