Anomalies across the globe: Once public, no longer existent?

• 成果类型: Article
• 署名作者: Jacobs, Heiko; Mueller, Sebastian
• 署名单位: University of Duisburg Essen
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.06.004
• 发表日期: 2020
• 页码: 213-230
• 关键词: Return predictability; International stock markets; arbitrage; Publication impact; anomalies

摘要

Motivated by McLean and Pontiff (2016), we study the pre- and post-publication return predictability of 241 cross-sectional anomalies in 39 stock markets. We find, based on more than two million anomaly country-months, that the United States is the only country with a reliable post-publication decline in long-short returns. Collectively, our meta-analysis of return predictors suggests that barriers to arbitrage trading can create segmented markets and that anomalies tend to represent mispricing instead of data mining. (C) 2019 Elsevier B.V. All rights reserved.