Publikationen
Art der Publikation: Beitrag in Zeitschrift
Anomalies Across the Globe: Once Public, No Longer Existent?
- Autor(en):
- Jacobs, Heiko; Müller, Sebastian
- Titel der Zeitschrift:
- Journal of Financial Economics
- Jahrgang (Veröffentlichung):
- 2020 (2020)
- Heftnummer:
- 135
- Seiten:
- 213-230
- Schlagworte:
- 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 zum Volltext:
- https://www.sciencedirect.com/science/article/abs/pii/S0304405X19301618
Kurzfassung
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.