{"id":7939,"date":"2019-09-17T09:14:22","date_gmt":"2019-09-17T07:14:22","guid":{"rendered":"https:\/\/www.uni.lu\/fr\/events\/how-anomalous-are-stock-market-anomalies-after-all\/"},"modified":"2019-09-17T09:14:22","modified_gmt":"2019-09-17T07:14:22","slug":"how-anomalous-are-stock-market-anomalies-after-all","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fr\/events\/how-anomalous-are-stock-market-anomalies-after-all\/","title":{"rendered":"How anomalous are stock market anomalies after all?"},"content":{"rendered":"<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\"><p><strong>Abstract<\/strong><\/p><p>Over the last few years more than 400 anomalies have been identified in the literature, motivating the emergence of new factor models. This trend is currently under meticulous re-evaluation. Critics argue that researchers have incentives to publish new factors rather than check the validity of published ones. In this context, we propose a stochastic spanning approach to assess whether a trading strategy constitutes a violation of a given factor model. Compared with the traditional mean-variance spanning approach, our framework is particularly appealing for asset classes and investment strategies with asymmetric risk profiles such as the anomalies examined. Our evidence shows that only few of the examined strategies actually expand the opportunity set of the general risk-averter. Most importantly, we find that stochastic dominance spanning yields significantly more robust results than mean-variance spanning. Our approach contributes to the effort that is undertaken in the literature to re-evaluate published anomalies and discern those with real economic content from those that may be the result of biases and data-snooping.<\/p><\/div><\/section>","protected":false},"excerpt":{"rendered":"","protected":false},"author":0,"featured_media":7940,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2019-10-03 10:00:00","event_end_date":"2019-10-03 11:30:00","event_speaker_name":"Nikolas Topaloglou - Athens University of Economics and Business","event_speaker_link":"","event_is_online":false,"event_location":"Faculty of Law, Economics and Finance\r\nWeicker Building \/ Room B001\r\n4, rue Alphonse Weicker\r\nL-2721 Luxembourg","event_street":"","event_location_link":"","event_zip_code":"","event_city":"","event_country":"LU"},"events-topic":[309],"events-type":[],"organisation":[116,101,226],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>How anomalous are stock market anomalies after all? - Universit\u00e9 du Luxembourg<\/title>\n<meta name=\"description\" content=\"AbstractOver the last few years more than 400 anomalies have been identified in the literature, motivating the emergence of new factor models. This trend\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.uni.lu\/fr\/events\/how-anomalous-are-stock-market-anomalies-after-all\/\" \/>\n<meta property=\"og:locale\" content=\"fr_FR\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"How anomalous are stock market anomalies after all?\" \/>\n<meta property=\"og:description\" content=\"AbstractOver the last few years more than 400 anomalies have been identified in the literature, motivating the emergence of new factor models. This trend\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.uni.lu\/fr\/events\/how-anomalous-are-stock-market-anomalies-after-all\/\" \/>\n<meta property=\"og:site_name\" content=\"UNI FR\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/uni.lu\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"2560\" \/>\n\t<meta property=\"og:image:height\" content=\"2560\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Dur\u00e9e de lecture estim\u00e9e\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/how-anomalous-are-stock-market-anomalies-after-all\/\",\"url\":\"https:\/\/www.uni.lu\/fr\/events\/how-anomalous-are-stock-market-anomalies-after-all\/\",\"name\":\"How anomalous are stock market anomalies after all? - Universit\u00e9 du Luxembourg\",\"isPartOf\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/#website\"},\"primaryImageOfPage\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/how-anomalous-are-stock-market-anomalies-after-all\/#primaryimage\"},\"image\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/how-anomalous-are-stock-market-anomalies-after-all\/#primaryimage\"},\"thumbnailUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2019\/09\/how_anomalous_are_stock_market_anomalies_after_all.jpg\",\"datePublished\":\"2019-09-17T07:14:22+00:00\",\"dateModified\":\"2019-09-17T07:14:22+00:00\",\"description\":\"AbstractOver the last few years more than 400 anomalies have been identified in the literature, motivating the emergence of new factor models. 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