Multi-Mitigated Strategies construction details:
| Construction: | All multi-mitigated strategies consist of a time-series of value-weighted returns on a long/short self-financing portfolio, constructed using a decile sort on a signal using NYSE breakpoints, and by mitigating trading costs in three ways: first, the universe of trading is restricted to the low cost stocks, defined as stocks with last year's trading costs lower than the median; second, the strategies use staggered as opposed to monthly rebalancing; and lastly, the strategies are constructed using trading hysteresis, i.e. a buy/hold rule, indicating the manner in which portfolios are rebalanced. |
| Universe: | All domestic common shares trading on NYSE, AMEX, and NASDAQ with available accounting data, returns, and trading costs in the bottom half of the NYSE universe over the previous year. For the strategies using the annual files, accounting data for fiscal-year end of year t is matched with stock returns data from July of year t+1 until June of year t+2 to avoid look-ahead bias. For the strategies that use the quarterly files, the accounting data for a given quarter are matched to the end of the month in which they were reported. |
| Period: | July 1963 - December 2012 (full period) for the anomalies using the annual files July 1973 - December 2012 (recent period) for the anomalies using the quarterly files. |
| Transactions Costs: | The trading costs used come from the effective bid-ask spread measure proposed by Hasbrouck (2009). His SAS code that constructs the costs is available here. |
| Further Details: | You can find details on the signals used for the construction of the strategies here. For further details, please see the paper. |