o:28258 A common pattern across asset pricing anomalies en 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. Keywords: Asset pricing; Factor models; Risk premia; Fama–French factors; Dynamic correlations 1552099 10.1016/j.frl.2022.103004 2023-03-16T16:51:05.857Z 44 no 46 Miloš Božović Univerzitet u Beogradu Ekonomski fakultet 1544295 0000-0002-5087-1977 application/pdf 1184335 https://phaidrabg.bg.ac.rs/o:28258 no yes 18 70 92000001 11A03 Finance Research Letters 48 August 103004 2022