Trading Costs of Asset Pricing Anomalies

By Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz. 2012

230 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/4c1994013b51b22ecc83061ae3d608af2f476466

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Avanidhar Subrahmanyam
2. Lasse Heje Pedersen
3. Robert Novy-Marx
4. David A. Hirshleifer
5. Nicholas Barberis
6. Tobias J. Moskowitz
7. Clifford S. Asness
8. Andrea Frazzini

In Finance

1. Nicholas Barberis
2. Robert Novy-Marx
3. Lasse Heje Pedersen
4. Avanidhar Subrahmanyam
5. David A. Hirshleifer
6. Tobias J. Moskowitz
7. Clifford S. Asness
8. Andrea Frazzini

In Management Science and Operations Research

1. Tobias J. Moskowitz
2. Mihail Velikov
3. Robert Novy-Marx
4. Clifford S. Asness
5. Ronen Israel
6. Avanidhar Subrahmanyam
7. Stacey Jacobsen
8. Craig W. Holden

Citations in the corpus

• Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, unknown): “Using the findings of Frazzini et al. (2012) as guideline, we estimate realised costs for the time-series momentum strategies using two different levels for the average market impact: a realistic scenario of 10 basis points and a conservative scenario of 50 basis points.”
• Shared analyst coverage: Unifying momentum spillover effects (2018, background): “This implies a break-even transaction cost of 42.5 basis points, which is considerably higher than the average transaction costs in the US reported by Frazzini et al. (2015) .”
• The Economics of High-Frequency Trading: Taking Stock (2016, background): “The NYSE/NASDAQ effective spread and retail commission were taken from Angel, Harris & Spatt (2015), implementation shortfall from Frazzini (2012), and institutional investor commission from Cappon (2014).”
• Value and Momentum Everywhere: Value and Momentum Everywhere (2013, unknown): “In addition, Frazzini, Israel, and Moskowitz (2012) provide some evidence that the trading costs of shorting stocks are not materially different from the costs of buying or selling stocks, and that real-world shorting costs for a large institutional investor are not prohibitive to running sizeable…”
• Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns (2016, unknown): “Trading the ninth minus the second decile (recall that these companies are larger and therefore probably more suited to the extrapolation from Frazzini et al. (2013)) yields an excess return of 5 percent per year.”
• Size matters, if you control your junk (2018, methodology): “Two measures of illiquidity are used: Amihud (2002) , which forms the basis of the IML factor in Amihud (2014) , and the market impact measure of Frazzini et al. (2013) .”
• The Empirical Analysis of Liquidity (2014, background): “Friewald et al. [2012] examine the yield spread between corporate bonds and a similar duration Treasury bond or swap rate curve.”
• A Transaction-Cost Perspective on the Multitude of Firm Characteristics (2020, unknown): “Frazzini, Israel, and Moskowitz (2015), using proprietary data from an institutional money manager, finds that the trading costs associated with exploiting size, momentum, and book to market can be quite small for large institutional investors, and that these managers can exploit these…”
• A Taxonomy of Anomalies and Their Trading Costs (2014, methodology): “More recently Frazzini et al. (2014) have argued that “actual trading costs are less than a tenth as large as, and therefore the potential scale of these strategies is more than an order of magnitude larger than, previous studies suggest," and conclude that the strategy is “robust [and]…”
• Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity (2014, unknown): “This 14Our post-decimalization results on attenuation in anomaly profits complement those in Israel and Moskowitz (2012) as well as Frazzini, Israel, and Moskowitz (2012); however, our study is not directly comparable to these papers, because they focus primarily on size, value, and momentum and do…”
• Earnings Announcements and Systematic Risk (2015, unknown): “A recent study by Frazzini, Israel, and Moskowitz (2013) directly measures actual trading costs for a large institutional money manager, and finds that they are quite a bit lower than those reported in previous studies.”