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

Heiko Jacobs; Sebastian Müller

doi:10.1016/j.jfineco.2019.06.004

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

Heiko Jacobs
, Sebastian Müller

University of Duisburg-Essen
German Graduate School of Management and Law gGmbH

Research output: Contribution to journal › Article › peer-review

123 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	213-230
Number of pages	18
Journal	Journal of Financial Economics
Volume	135
Issue number	1
DOIs	https://doi.org/10.1016/j.jfineco.2019.06.004
State	Published - Jan 2020
Externally published	Yes

Keywords

Anomalies
Arbitrage
International stock markets
Publication impact
Return predictability

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10.1016/j.jfineco.2019.06.004

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abstract = "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.",

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KW - Publication impact

KW - Return predictability

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

Abstract

Keywords

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