A Unified Framework for Anomalies based on Daily Returns
Sala 3M4, Clădirea Moxa Str.Mihail Moxa nr 5-7, BucureștiAdam Zaremba MBS School of Business & Poznan University of Economics and Business & Monash University; adam.zaremba@ue.poznan.pl Abstract: Numerous cross-sectional equity anomalies draw on the same underlying information: the sequence of daily returns over the previous month. Using a data-driven approach, we estimate the empirical mapping from the distribution of last month’s daily returns to future […]
