Global market inefficiencies

• 成果类型: Article
• 署名作者: Bartram, Sohnke M.; Grinblatt, Mark
• 署名单位: University of Warwick; Centre for Economic Policy Research - UK; University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.07.011
• 发表日期: 2021
• 页码: 234-259
• 关键词: International finance; valuation; asset pricing; market efficiency; Fundamental analysis; Point-in-time; transaction costs; principal components; Instrumented principal components analysis

摘要

Using point-in-time accounting data, we estimate monthly fair values of 25,000+ stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (alpha) in most regions, especially Asia-Pacific, that are unrelated to known anomalies. The strategy's 40-70 basis point per month alpha difference between emerging and developed markets contrast with prior research findings. A country's pre-transaction cost alpha is positively related to its trading costs, but exceeds countryspecific institutional trading costs. Thus, global equity markets are inefficient, particularly in countries with quantifiable market frictions, like trading costs, that deter arbitrageurs. (C) 2020 Elsevier B.V. All rights reserved.