Publications

Type of Publication: Article in Journal

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

Author(s):
Heiko Jacobs, Sebastian Müller
Title of Journal:
Journal of Financial Economics, forthcoming
Publication Date:
2018
Keywords:
return predictability, international stock markets, arbitrage, publication impact, anomalies, trading strategies, market segmentation
Digital Object Identifier (DOI):
doi:10.2139/ssrn.2816490
Link to complete version:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2816490
Citation:
LABEL-FOR-eidrisexport

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.