Profitable Predictability in the Cross Section of Stock Returns
Publication Date
11-18-1999
Abstract
Haugen and Baker (1996) report that a long-short stock selection strategy based on more than 50 measures of accounting information and past return behavior would have generated excess returns of approximately 3% per month. We find that the Haugen and Baker strategies do not provide attractive returns after transaction costs if an investor already has access to strategy portfolios based on book-to-market and momentum. We also provide an extensive analysis of transaction costs over a long sample and we report results of independent interest to researchers in market microstructure.
Document Type
Article
Keywords
transaction costs, trading strategy, abnormal return
Disciplines
Accounting
DOI
10.2139/ssrn.193228
Source
SMU Cox: Accounting (Topic)
Language
English
