We find strong evidence of time-series and cross-sectional momentum in the long–short returns of a comprehensive sample of anomalies. Strategies that exploit such persistence deliver significant abnormal returns that are robust to the stock momentum effect, cannot be explained by traditional asset-pricing models, and are more pronounced when arbitrage capital is scarcer or market liquidity is lower. Momentum in anomaly returns dissipates but does not reverse, in the long-run. Our findings are consistent with limits-to-arbitrage and slow-moving capital causing mispricing to persist. Supporting this explanation, we find that both the level and persistence of anomaly returns are positively related to idiosyncratic volatility.

中文翻译：

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异常收益中的时间序列和横截面动量

我们在异常综合样本的多空回报中发现了时间序列和横截面动量的有力证据。利用这种持续性的策略可提供显着的异常回报，这种回报对股票动量效应非常强劲，无法用传统的资产定价模型来解释，并且在套利资本稀缺或市场流动性较低时更为明显。从长远来看，异常回报的势头会消散，但不会逆转。我们的研究结果与限制套利和缓慢流动的资本导致错误定价持续存在一致。支持这一解释，我们发现异常回报的水平和持续性都与特殊波动率呈正相关。