Review of Finance, Volume 21 Issue 1, March 2017, Pages 237-267

投资于逐渐消失的异象

作者：Jones, CS (Univ Southern Calif, Marshall Sch Business), Pomorski, L (AQR Capital Management LLC)

摘要：我们证明了异象在发现之后还可能经历长时间的衰减，并利用贝叶斯框架研究这个现象如何影响投资组合的确定。以一月效应和短期指数的自相关现象作为逐渐消失的异象的代表，我们发现长时间的衰减在实证检验中十分重要，尤其是在小盘股异象中。那些指出新出现的异象并不会导致这种衰减的文章很有可能低估了异象的原始强度，并且意味着会高估样本外预测时异象的水平。我们发现相对于其他方法而言，在投资组合选择时考虑到可能的衰减会使得样本外预测获得更突出的表现。

关键词：异象，样本外收益率预测，贝叶斯分析，资产配置

Investing in Disappearing Anomalies

Jones, CS (Univ Southern Calif, Marshall Sch Business), Pomorski, L(AQR Capital Management LLC)

ABSTRACT

We argue that anomalies may experience prolonged decay after discovery and propose a Bayesian framework to study how that impacts portfolio decisions. Using the January effect and short-term index autocorrelations as examples of disappearing anomalies, we find that prolonged decay is empirically important, particularly for small-cap anomalies. Papers that document new anomalies without accounting for such decay may actually underestimate the original strength of the anomaly and imply an overstated level of the anomaly out of sample. We show that allowing for potential decay in the context of portfolio choice leads to out-of-sample outperformance relative to other approaches.

原文链接: https://academic.oup.com/rof/article/21/1/237/2669994/Investing-in-Disappearing-Anomalies

翻译：汪国颂