Zeroing In on the Expected Returns of Anomalies

Abstract We zero in on the expected returns of long-short portfolios based 204 stock market anomalies by accounting for i) effective bid–ask spreads, ii) post-publication effects, and iii) modern era trading technology that began early 2000s. Net these average anomaly’s return is a measly 4 bps per month. The strongest net, at best, 10 after controlling data mining. Several methods combining net around 20 bps. Expected are negligible despite cost mitigations produce impressive in-sample omission additional costs, like price impact.