Download This PaperAnomalies Across the Globe: Once Public, No Longer Existent?
Journal of Financial Economics, Forthcoming
46 Pages Posted: 2 Aug 2016 Last revised: 21 Oct 2018
Date Written: October 19, 2018
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 find 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.
Keywords: return predictability, international stock markets, arbitrage, publication impact, anomalies, trading strategies, market segmentation
JEL Classification: G02, G12, G14, G15
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