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Anomalies Abroad: Beyond Data Mining

Xiaomeng Lu, Robert Stambaugh and Yu Yuan ()

No 23809, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: A pre-specified set of nine prominent U.S. equity return anomalies produce significant alphas in Canada, France, Germany, Japan, and the U.K. All of the anomalies are consistently significant across these five countries, whose developed stock markets afford the most extensive data. The anomalies remain significant even in a test that assumes their true alphas equal zero in the U.S. Consistent with the view that anomalies reflect mispricing, idiosyncratic volatility exhibits a strong negative relation to return among stocks that the anomalies collectively identify as overpriced, similar to results in the U.S.

JEL-codes: G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2017-09
New Economics Papers: this item is included in nep-ifn
Note: AP
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Citations: View citations in EconPapers (8)

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