Review of Financial Studies, January 2016, v. 29, iss. 1, pp. 104-47

对异象及其交易成本的分类方法

作者：Novy-Marx, Robert; Velikov, Mihail

摘要：我们研究了剔除交易成本后，异象的表现以及降低交易成本技术的有效性。在建仓比持有拥有更迫切需求这一情况下，引入一个买入或者持有差价是最有效的降低成本的技术。大部分每月换手率小于50%、旨在降低交易成本的异象会产生明显的净利差；而较高换手率的异象很少有净利差。新资本降低策略收益性的程度与换手率负相关，且基于规模、价值以及收益性的策略最有能力支持新资本。交易成本总是会降低策略的收益性，增加对数据探测的担忧。

A Taxonomy of Anomalies and Their Trading Costs

Novy-Marx, Robert; Velikov, Mihail

ABSTRACT

We study the after-trading-cost performance of anomalies and the effectiveness of transaction cost mitigation techniques. Introducing a buy/hold spread, with more stringent requirements for establishing positions than for maintaining them, is the most effective cost mitigation technique. Most anomalies with less than 50% turnover per month generate significant net spreads when designed to mitigate transaction costs; few with higher turnover do. The extent to which new capital reduces strategy profitability is inversely related to turnover, and strategies based on size, value, and profitability have the greatest capacity to support new capital. Transaction costs always reduce strategy profitability, increasing data-snooping concerns.

原文链接：https://www.researchgate.net/publication/287110995_A_Taxonomy_of_Anomalies_and_Their_Trading_Costs

翻译：孙雨琦