False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987)

COVID-19 and policy responses: Early evidence in banks and FinTech stocks

“…realizable) returns and do not suffer from biases associated with ASX listed small- and micro-capitalization stocks. The inclusion of ASX small- and micro-capitalization stocks creates biases in returns which have been extensively documented in the literature including Brailsford et al (2012), Brailsford and O'Brien (2008), Zhong et al (2014), Dou et al (2013), O'Brien et al (2010), Demir et al (2004), Gaunt and Gray (2003), Marshall and Cahan (2005), and more recently in Cakici et al (2021) . Third, after estimating industry-wide returns, we estimate firm-specific residuals in the twelve FinTech firms (value-weighted) and a second estimation of firm-specific residuals in the eight banks (value-weighted).…”

Are Factor Investing Strategies Successful Out-of-Sample: Evidence From the Nifty Indices

“…Hou, Xue, and Zhang (2020) report similar findings in the U.S. market. Cakici et al (2021) utilise hand-collected data from 1926-1987 and show that most anomalies do not replicate for stocks listed on the Stock Exchange of Melbourne. While many such studies report poor out-of-sample performance of factor investing, others suggest that factor-based strategies are still robust.…”