Anomaly Time

• 成果类型: Article
• 署名作者: Bowles, Boone; Reed, Adam V.; Ringgenberg, Matthew C.; Thornock, Jacob R.
• 署名单位: Texas A&M University System; Texas A&M University College Station; Mays Business School; University of North Carolina; University of North Carolina Chapel Hill; Utah System of Higher Education; University of Utah; Brigham Young University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13372
• 发表日期: 2024
• 关键词: cross-section; MARKET; underreaction; performance; PSYCHOLOGY; disclosure; MODEL

摘要

We examine the timing of returns around the publication of anomaly trading signals. Using a database that captures when information is first publicly released, we show that anomaly returns are concentrated in the first month after information release dates, and these returns decay soon thereafter. We also show that the academic convention of forming portfolios in June underestimates predictability because it uses stale information, which makes some anomalies appear insignificant. In contrast, we show many anomalies do predict returns if portfolios are formed immediately after information releases. Finally, we develop guidance on forming portfolios without using stale information.