eng Božović, Miloš info:eu-repo/semantics/article https://phaidrabg.bg.ac.rs/o:28258 doi:10.1016/j.frl.2022.103004 Abstract: The Arbitrage Pricing Theory implies that portfolios with small should have large alphas. We show that, as a consequence, the prominent asset pricing anomalies share a common trait: abnormal returns are driven mainly by stocks having smaller and less stable correlations with the market portfolio. Univariate sorts based on five-year rolling-window correlations with the market excess return produce patterns similar to those based on size, value, profitability, investment, price ratios, and earnings and price momenta. A correlation-driven factor that captures this common property makes some of the Fama–French factors redundant in regressions with the univariate sorts. Project: This research was financially supported by the Ministry of Education, Science and Technological Development of the Republic of Serbia . I am thankful to the anonymous reviewers of this manuscript for their valuable comments and suggestions. The usual disclaimer applies. http://creativecommons.org/licenses/by-nc-nd/4.0/legalcode A common pattern across asset pricing anomalies application/pdf 1184335 bytes 2022 Finance Research Letters 48(August) Keywords: Asset pricing; Factor models; Risk premia; Fama–French factors; Dynamic correlations