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

By Heiko Jacobs, Sebastian Müller. Journal of Financial Economics, 2020

168 citations recorded by the source corpus.

Motivated by McLean and Pontiff (2016), we study the pre- and post-publication return predictability of 138 anomalies in 39 stock markets. Based on more than a million anomaly country-months, we find that the United States is the only country with a statistically significant and economically meaningful post-publication decline in long/short returns. The surprisingly large differences between the U.S. and international markets cannot be fully explained with general time effects or differences in limits to arbitrage, in-sample anomaly profitability, data availability, or local risk factor exposure. Our results have implications for the recent literature on arbitrage trading, data mining, and market segmentation.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9b5173ff6f5adca712ae50edfe4507c2d655cf6c

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In Economics and Econometrics

1. Philipp Krueger
2. P. Schmidt

In Finance

1. R. Gibson Brandon
2. Philipp Krueger
3. P. Schmidt

Citations in the corpus

• ESG Rating Disagreement and Stock Returns (2019, background): “First, the fact that we focused on the S&P 500 universe leaves open the question of whether our results can be transposed to other stock markets located outside of the United States.”