Information Diffusion Based Explanations of Asset Pricing Anomalies
A 2007 paper by Sékeris and Bolmatis on value investing in equities: the abstract mentions excess returns and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“In this paper we develop information based factors which outperform other popular factors used in the multifactor pricing literature such as the Fama and French size and book-to-market factors.”
AssetEquities
StrategyValue investingfactor investing
GeographyEurope
ClaimExcess return
Also stated: Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodValue investing by year
FamilyValue investing106Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 896
AssetEquities89
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Multifactor Explanations of Asset Pricing Anomalies by Fama and French | 1996 | ||||
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| What Do Factor Models Really Price in the Tails? A Noise-Corrected Quantile Reassessment of the Fama-French Five-Factor Model by Wang | 2026 |