Anomalies and Financial Distress

By Doron Avramov, Tarun Chordia, Gergana Jostova, Alexander Philipov. 2013

264 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/580964938290bf81a8bd594bd7a912b5e449c2b2

Citations in the corpus

• Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2014, unknown): “…French, 1993: MKT, SMB, and HML.) In comparison, if value-weighted decile portfolios are first formed for each individual anomaly ranking, and then the returns on those portfolios are combined with equal weights across the 11 anomalies, the corresponding spread between the extreme deciles is 0.86%.”
• Ownership Structure , Limits to Arbitrage and Stock Returns: Evidence from Equity Lending Markets (2016, unknown): “5Autore et al. (2015) and Blocher et al. (2013) show that hard-to-borrow stocks can become highly overvalued and Stambaugh et al. (2012) and Avramov et al. (2013) find that profits from anomaly-based strategies reside mostly on the short-side of the trade.”