WHICH ANOMALIES ARE MORE POPULAR? AND WHY?

다국어 초록 (Multilingual Abstract)

We document and discuss cues that drive arbitrageurs’ behavior. In particular, we test, for a wide set of anomalies, whether arbitrageurs trade on anomalies, which anomalies attract the most arbitrage efforts, and what this reveals about arbitrageurs’ decision-making process. Arbitrage involvement is inferred via changes in short interest when a security falls into the “short leg” of an anomaly strategy. We provide evidence that arbitrageurs flock to high-volatility strategies and that this behavior is influenced by the convexity in fee structure common in the investment industry. Anomaly popularity also relates to the corresponding anomaly being discussed in academic outlets.

목차 (Table of Contents)

• Abstract
• 1. Introduction
• 2. Data and Descriptive Statistics
• 2.1 Data
• 2.2 Descriptive Statistics - Anomaly Performance
• 3. Main Results
• 3.1 Methodology
• 3.2 Trading on Anomalies
• 3.3 Differences in Anomaly Popularity: The Role of Investor Awareness
• 3.4 Differences in Anomaly Popularity: The Role of a Strategy’s Volatility
• 4. Additional Analyses/Discussion
• 4.1 Endogeneity/Omitted Variables
• 4.2 Transaction Costs
• 4.3 Can Arbitrageurs Time Anomaly Crashes?
• 5. Conclusion
• References
• Appendix
• Figure
• Table