IDEAS home Printed from https://ideas.repec.org/a/taf/ufajxx/v79y2023i4p96-117.html
   My bibliography  Save this article

Beyond Fama-French Factors: Alpha from Short-Term Signals

Author

Listed:
  • David Blitz
  • Matthias X. Hanauer
  • Iman Honarvar
  • Rob Huisman
  • Pim van Vliet

Abstract

Short-term alpha signals are generally dismissed in traditional asset pricing models, primarily due to market friction concerns. However, this paper demonstrates that investors can obtain a significant net alpha by applying a combination of signals to a liquid global universe and with advanced buy/sell trading rules that mitigate transaction costs. The composite model consists of short-term reversal, short-term momentum, short-term analyst revisions, short-term risk, and monthly seasonality signals. The resulting alpha is present in out-of-sample and post-publication periods and across regions, translates into long-only applications, is robust to incorporating implementation lags of several days, and is uncorrelated to traditional Fama-French factors.

Suggested Citation

  • David Blitz & Matthias X. Hanauer & Iman Honarvar & Rob Huisman & Pim van Vliet, 2023. "Beyond Fama-French Factors: Alpha from Short-Term Signals," Financial Analysts Journal, Taylor & Francis Journals, vol. 79(4), pages 96-117, October.
    • Handle: RePEc:taf:ufajxx:v:79:y:2023:i:4:p:96-117
    DOI: 10.1080/0015198X.2023.2173492
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/0015198X.2023.2173492
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/0015198X.2023.2173492?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:ufajxx:v:79:y:2023:i:4:p:96-117. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/ufaj20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.