Journal of Financial Economics Vol. 135 No. 1 2020
Anomalies across the globe: Once public, no longer existent?
open access
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.
- DOI
- 10.1016/j.jfineco.2019.06.004
- Volume
- 135
- Issue
- 1
- Pages
- 213-230
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref