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

Heiko Jacobs and Sebastian Müller

Journal of Financial Economics, 2020, vol. 135, issue 1, 213-230

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.

Keywords: Return predictability; International stock markets; Arbitrage; Publication impact; Anomalies (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 G40 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (61)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:135:y:2020:i:1:p:213-230

DOI: 10.1016/j.jfineco.2019.06.004

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