Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?

• 成果类型: Article
• 署名作者: Chordia, Tarun; Subrahmanyam, Avanidhar; Tong, Qing
• 署名单位: Emory University; University of California System; University of California Los Angeles; Singapore Management University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2014.06.001
• 发表日期: 2014
• 关键词: cross-section; informational efficiency; RISK; returns; accruals; time; tests; price

摘要

We examine whether the recent regime of increased liquidity and trading activity is associated with attenuation of prominent equity return anomalies due to increased arbitrage. We find that the majority of the anomalies have attenuated and the average returns from a portfolio strategy based on prominent anomalies have approximately halved after decimalization. We provide evidence that hedge fund assets under management, short interest and aggregate share turnover have led to the decline in anomaly-based trading strategy profits in recent years. Overall, our work indicates that policies to stimulate liquidity and ameliorate trading costs improve capital market efficiency. (C) 2014 Elsevier By. All rights reserved.