Welcome to the “Assaying Anomalies” project page!
This project proposes a protocol and offers easily-accessible, easily-implementable tools for dissecting and understanding newly proposed cross-sectional equity return predictors.
The project has three main components:
- A companion paper, Assaying Anomalies, that describes the protocol.
- A public github MATLAB repository with code that implements the protocol, and also includes a far broader set of tools for conducting research in empirical asset pricing. A preliminary beta version (v0.4.0) was released on 1/25/2023.
- A web application that allows users to test proposed new return predictors by simply uploading a .csv file. After applying the protocol, the system emails the user a self-contained report that describes the results (.pdf and underlying .tex files). While the web application is still under development, this page includes a form where users can upload their signal and, subject to availability of computing resources, the authors will run the code for the protocol manually and email the user the output.