Art der Publikation: Beitrag in Zeitschrift

Anomalies Across the Globe: Once Public, No Longer Existent?

Autor(en):

Jacobs, Heiko; Müller, Sebastian

Titel der Zeitschrift:

Journal of Financial Economics

Jahrgang (Veröffentlichung):

2020 (2020)

Heftnummer:

135

Seiten:

213-230

Schlagworte:

return predictability, international stock markets, arbitrage, publication impact, anomalies, trading strategies, market segmentation

Digital Object Identifier (DOI):

doi:10.1016/j.jfineco.2019.06.004

Link zum Volltext:

https://www.sciencedirect.com/science/article/abs/pii/S0304405X19301618

Zitation:

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Kurzfassung

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. Based on more than two million anomaly country-months, we nd 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 may create segmented markets and that anomalies tend to represent mispricing rather than data mining.