Title:Intra-Industry and Inter-Industry Anomalies
Speaker: Yifeng Zhu
Abstract:In this paper, we document substantial variations and concentrations of anomalies at the industry level. Out of 35 significant value-weighted anomalies, many are concentrated in industries such as manufactory, high technical business equipment, and nondurable consumer goods, while very few exist in energy and telecommunication sectors. These industry variations and concentrations are largely due to industry differences in volatility or market beta. In addition, following Hou, Xue, and Zhang(2015), we classify these 35 anomalies into five categories and find similar results. Thus we can enhance anomaly category effect through long short different industry stocks. Industry variations in momentum anomaly category are related to volatility and market beta, and those in profitability anomaly category are related to volatility, market beta, and sales-to-price, while those in investment anomaly category are related to sales-to-price. In the end, we construct some industry anomaly and anomaly category strategies to generate significant returns, and some stock anomaly and anomaly category effects are eroded by industry variation.
Yifeng Zhu：Yifeng Zhu, Assistant Professor in finance at School of Finance, Central University of Finance and Economics, and Visiting Professor in Economics Department and Institute for Quantitative Theory and Methods of Emory University. He obtained his PhD degree in Economics from Emory University in 2016. He already published four papers in Finance, Economics, and Mathematics including Journal of Financial and Quantitative Analysis, Advances in Econometrics, Acta Mathematica Scientia, and Pure and Applied Mathematics.
Date: March 28th, Thursday, 2019
Location: Room 608, Academic Hall, CUFE