Type of Publication: Article in Journal
Anomalies Across the Globe: Once Public, No Longer Existent?
- Heiko Jacobs, Sebastian Müller
- Title of Journal:
- Journal of Financial Economics, forthcoming
- Publication Date:
- return predictability, international stock markets, arbitrage, publication impact, anomalies, trading strategies, market segmentation
- Digital Object Identifier (DOI):
- Link to complete version:
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.