Can the changes in fundamentals explain the attenuation of anomalies?

• 成果类型: Article
• 署名作者: Choy, Siu Kai; Lewis, Craig; Tan, Yongxian
• 署名单位: University of London; King's College London; Vanderbilt University; Curtin University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.04.005
• 发表日期: 2023
• 页码: 142-160
• 关键词: Anomalies; attenuation; INVESTMENT; Q-theory

摘要

The existing literature attributes the recent decay of stock market anomalies to increased arbitrage activities (e.g., Chordia, Subrahmanyam, and Tong, 2014; McLean and Pontiff, 2016; Green, Hand, and Zhang, 2017). In this paper, we present evidence that the appar-ent demise of several prominent classes of stock market anomalies is better explained by changes in underlying fundamentals. The attenuation of anomalies in the Momentum, In-vestment, and Profitability categories are accompanied by a reduced difference in funda-mental performance between the long-and short-leg portfolios, as measured by the fun-damental return from a two-capital investment CAPM. After accounting for the change in fundamental return, the attenuation of Investment and Profitability anomalies decreases to statistically insignificant levels. These results are consistent with the q-theory of in-vestment, which attributes the attenuation of stock returns and fundamental returns of anomalies to the time variation in discount rates implied by fundamentals. We also show that neither academic publication nor proxies for increased arbitrage activities can explain the attenuation of these anomalies.(c) 2023 Elsevier B.V. All rights reserved.