Type of Publication: Article in Journal

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

Author(s):

Jacobs, Heiko; Müller, Sebastian

Title of Journal:

Journal of Financial Economics

Volume (Publication Date):

2020 (2020)

Number of Issue:

135

pages:

213-230

Keywords:

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

Digital Object Identifier (DOI):

doi:https://doi.org/10.1016/j.jfineco.2019.06.004

Link to complete version:

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

Citation:

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Abstract

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.