Equity and Multi Asset anomalies in the 17th till 20th century

Anomalies have been documented tremendously in the academic finance literature. A recent paper by Harvey, Lui and Zhu (2015) questions the statistical evidence on anomalies when the testing properly accounts for data mining. This raises doubt on how persistent and trustworthy many anomalies are for investors. A way to mitigate these doubts is to investigate the existence of anomalies over a very long time period. The goal of this project is to just that: go back in history and test many anomalies since the existence of financial markets.

For this project we will work with an asset allocation data base that starts in 1200 and a US and UK stock database that has data from 1692 onward.

This project requires substantial data collection and cleaning, programming the back-tests, analyzing the results, discussing results with researchers and portfolio managers, writing a research report and giving a presentation. As with all Super Quant internships, the assignment will be supervised by an experienced empirical researcher of Robeco’s Quantitative Research department. Advanced econometrics is not required for this assignment, but basic knowledge of R, Matlab or Python is a pre.

Are you interested?

Let us know your motivation and send it together with your CV and list of grades to SQ@robeco.nl.

Literature

Harvey, Campbell R. and Liu, Yan and Zhu, Heqing. …and the Cross-Section of Expected Returns (February 3, 2015). Available at SSRN: https://ssrn.com/abstract=2249314

Papers on stock anomalies

Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance, 48(1), 65-91.

Sloan, R. (1996). Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? The Accounting Review, 71(3), 289-315

Blitz, David and van Vliet, Pim, The Volatility Effect: Lower Risk Without Lower Return. Journal of Portfolio Management, pp. 102-113, Fall 2007. Available at SSRN: https://ssrn.com/abstract=980865

Fama, E. F. and French, K. R. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, 47, 427–465.

Fama, E. F. and French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 2015, 1-22.

Asness, C., Moskowitz, T., & Pedersen, L. (2013). Value and Momentum Everywhere. The Journal of Finance, 68(3), 929-985.