Are equity market anomalies disappearing? Evidence from the U.K

John Cotter and Niall McGeever
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Niall McGeever: University College Dublin

No 201804, Working Papers from Geary Institute, University College Dublin

Abstract: We study the persistence over time of nine well-known equity market anomalies in the cross-section of U.K. stocks. We find strong evidence of diminished statistical significance for most of these anomalies including the return reversal and momentum effects. Two anomalies – firm profitability and stock turnover – remain quite robust throughout our sample period. These results hold for both portfolio sorts and Fama-MacBeth regression analyses and are robust to the use of alternative methods of risk adjustment. Our findings are consistent with improvements in market efficiency overtime with respect to well-known anomaly variables.

Keywords: Anomalies; Asset Pricing; Market Efficiency (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2018-02-19
New Economics Papers: this item is included in nep-cfn and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:201804

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