This repository contains resources for a PhD class module focused on anomalies. The materials here come from a half-semester module that I taught to Finance PhD students at Penn State. The syllabus and reading list contain the course requirements and more details on the material covered.
The course makes heavy use of the AssayingAnomalies repository that accompanies Novy-Marx and Velikov (2023).
Below you can find the course outline and links to the resources provided in the repository.
- Week 1: Introduction; Class logistics
- AssayingAnomalies setup and basic usage demonstration
- Week 2: March 23: MATLAB Q&A; Cross-section of stock returns: CAPM to FF3;
- Week 3: March 30: Behavioral finance: technical predictors (anomalies based on past performance) & limited attention anomalies
- Week 4: April 6: Investment & Profitability; Factor wars
- Slides;
- Code
- Papers' main results replications:
- Asness and Frazzini (JPM, 2013)
- Anderson and Garcia-Feijòo (JF, 2006)
- Cooper, Gullen, and Schill (JF, 2008)
- Pontiff and Woodgate (JF, 2008)
- Lyandres, Sun, and Zhang (RFS, 2008)
- Novy-Marx (2013)
- Fama and French (2015)
- Ball, Gerakos, Linnainmaa, and Nikolaev (JFE, 2016)
- Hou, Xue, and Zhang (RFS, 2015)
- Week 5: April 13: Liquidity and FOMC puzzles
- Slides;
- Liquidity Code
- FOMC Code
- Papers' main results replications:
- Week 6: April 20: Transaction Costs
- Week 7: April 27: Skeptical evaluations and making sense of the anomaly zoo