19 min

Academic Research Spotlight: Replicating Anomalies by Lu Zhang, Chen Xue and Kewei Hou Excess Returns

    • Investing

In this episode, we are trying something new. There is so much academic research out there about markets, and what drives their returns over time, that it can be very difficult for investors to keep up with all of it. So we are going to start highlighting some of our favorite academic papers each month and breaking down their key lessons. 

We start with paper Replicating Anomalies by Lu Zhang, Chen Xue and Kewei Hou. In this paper, the authors examined 452 stock market anomalies to see how they held up once the impact of micro-cap stocks was reduced. We summarize the findings from the paper and what they mean for investors. 

We hope you enjoy the discussion. 

DIRECT LINK TO REPLICATING ANOMALIES PAPER

Replicating Anomalies by Kewei Hou, Chen Xue, Lu Zhang :: SSRN

ABOUT THE PODCAST

Excess Returns is an investing podcast hosted by Jack Forehand (@practicalquant) and Justin Carbonneau (@jjcarbonneau), partners at Validea. Justin and Jack discuss a wide range of investing topics including factor investing, value investing, momentum investing, multi-factor investing, trend following, market valuation and more with the goal of helping those who watch and listen become better long term investors.

SEE LATEST EPISODES

https://www.validea.com/excess-returns-podcast

FIND OUT MORE ABOUT VALIDEA

https://www.validea.com

FOLLOW OUR BLOG

https://blog.validea.com

FIND OUT MORE ABOUT VALIDEA CAPITAL

https://www.valideacapital.com

FOLLOW JACK

Twitter: https://twitter.com/practicalquant

LinkedIn: https://www.linkedin.com/in/jack-forehand-8015094

FOLLOW JUSTIN

Twitter: https://twitter.com/jjcarbonneau

LinkedIn: https://www.linkedin.com/in/jcarbonneau

In this episode, we are trying something new. There is so much academic research out there about markets, and what drives their returns over time, that it can be very difficult for investors to keep up with all of it. So we are going to start highlighting some of our favorite academic papers each month and breaking down their key lessons. 

We start with paper Replicating Anomalies by Lu Zhang, Chen Xue and Kewei Hou. In this paper, the authors examined 452 stock market anomalies to see how they held up once the impact of micro-cap stocks was reduced. We summarize the findings from the paper and what they mean for investors. 

We hope you enjoy the discussion. 

DIRECT LINK TO REPLICATING ANOMALIES PAPER

Replicating Anomalies by Kewei Hou, Chen Xue, Lu Zhang :: SSRN

ABOUT THE PODCAST

Excess Returns is an investing podcast hosted by Jack Forehand (@practicalquant) and Justin Carbonneau (@jjcarbonneau), partners at Validea. Justin and Jack discuss a wide range of investing topics including factor investing, value investing, momentum investing, multi-factor investing, trend following, market valuation and more with the goal of helping those who watch and listen become better long term investors.

SEE LATEST EPISODES

https://www.validea.com/excess-returns-podcast

FIND OUT MORE ABOUT VALIDEA

https://www.validea.com

FOLLOW OUR BLOG

https://blog.validea.com

FIND OUT MORE ABOUT VALIDEA CAPITAL

https://www.valideacapital.com

FOLLOW JACK

Twitter: https://twitter.com/practicalquant

LinkedIn: https://www.linkedin.com/in/jack-forehand-8015094

FOLLOW JUSTIN

Twitter: https://twitter.com/jjcarbonneau

LinkedIn: https://www.linkedin.com/in/jcarbonneau

19 min

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