(Priced) Frictions

Zeroing In on the Expected Returns of Anomalies

“…" David McLean informed us that they also surveyed asset pricing experts to make sure they were not missing anything. 3 For other trading cost studies, see Stoll and Whaley (1983), Schultz (1983), Ball, Kothari, and Shanken (1995), Knez and Ready (1996), Pontiff and Schill (2001), Korajczyk and Sadka (2004), Lesmond, Schill, andZhou (2004), andHanna andReady (2005), McLean (2010), Hou, Kim, and Werner (2016), Patton andWeller (2017), Frazzini, Israel, andMoskowitz (2015), and Briere et al (2019). For other papers on the decay of predictability over time, see Schwert (2003), Marquering, Nisser, and Valla 2006, Huang and Huang 2013, Chordia, Subrahmanyam, and Tong (2014, Jacobs and Müller (2017), Chu, Hirshleifer, and Ma (2017), and Chen and Zimmermann (2019).…”

“…We are grateful to Victor DeMiguel, Alberto Martin-Utrera, Francisco Nogales, and Raman Uppal for making their data available to us, and helping us understand this reconciliation.7 This code generates HF spreads going back to 1983 in roughly 1 hour by combining WRDS' calculations for TAQ (from the WRDS Intraday Indicators data set) with our own calculations for ISSM spreads.8 SeeSchultz (1983),Stoll and Whaley (1983),Ball, Kothari, and Shanken (1995),Knez and Ready (1996),Pontiff and Schill (2001),Korajczyk and Sadka (2004),Lesmond, Schill, and Zhou (2004),Hanna and Ready (2005), McLean(2010),Frazzini et al (2015),Hou, Kim, and Werner (2016),Briere et al (2019),Patton andWeller (2020), andDetzel, Novy-Marx, andVelikov (2021), among others).9Schwert (2003),Marquering, Nisser, and Valla (2006),Huang and Huang (2013),Chordia et al (2014), Chen and Zimmermann (2020), and Jacobs and Müller (2020).Chen and Velikov 971…”