Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies
Brière, Marie; Lehalle, Charles-Albert; Nefedova, Tamara; Raboun, Amine (2019), Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies. https://basepub.dauphine.fr/handle/123456789/19772
Type
Document de travail / Working paperExternal document link
https://ssrn.com/abstract=3380239Date
2019Publisher
SSRN Working Paper Series
Pages
34
Metadata
Show full item recordAuthor(s)
Brière, MarieLaboratoire d'Economie de Dauphine [LEDa]
Lehalle, Charles-Albert

Capital Fund Management [CFM]
Nefedova, Tamara
Dauphine Recherches en Management [DRM]
Raboun, Amine
Laboratoire d'Economie de Dauphine [LEDa]
Abstract (EN)
Using a large database of the US institutional investors’ trades, this paper revisits the question of anomalies-based portfolio transaction costs. The real costs paid by large investors to implement the well-identified size, value, and momentum anomalies are lower than what has been documented in the previous studies. We find that the average investor pays an annual transaction cost of 17bps for size, 24bps for value, and 274bps for momentum. The three strategies generate statistically significant returns of respectively 5.21%, 2.79% and 2.77% after accounting for transaction costs. When the market impact is taken into account, transaction costs reduce substantially the profitability of the well-known anomalies for large portfolios, however, these anomalies remain profitable for average size portfolios. The break-even capacities in terms of fund size are $ 206 billion for size, $ 16.1 billion for value and $ 310 million for momentum.Subjects / Keywords
Trading costs; Market Impact; Liquidity; Anomalies-based InvestmentsRelated items
Showing items related by title and author.
-
Brière, Marie; Lehalle, Charles-Albert; Nefedova, Tamara; Raboun, Amine (2020) Communication / Conférence
-
Nefedova, Tamara; Brière, Marie; Lehalle, C.-A.; Raboun, Amine (2019) Communication / Conférence
-
Brière, Marie; Lehalle, Charles Albert; Nefedova, Tamara; Raboun, Amine (2020) Chapitre d'ouvrage
-
Brière, Marie; Lehalle, Charles Albert; Nefedova, Tamara; Raboun, Amine (2019) Communication / Conférence
-
Raboun, Amine (2021-03-02) Thèse