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Podcast: Excess Returns
Episode: Academic Research Spotlight: Replicating Anomalies by Lu Zhang, Chen Xue and Kewei Hou
Description: 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.Â
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 r...