Abstract

http://ssrn.com/abstract=2029057
 
 

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Trends in Capital Market Anomalies


Tarun Chordia


Emory University - Department of Finance

Avanidhar Subrahmanyam


University of California, Los Angeles (UCLA) - Finance Area

Qing Tong


Singapore Management University - Lee Kong Chian School of Business

May 25, 2013


Abstract:     
We examine whether the recent regime of increased liquidity and volume is associated with attenuation of equity return anomalies via increased arbitrage. We find that several anomalies have attenuated significantly over time, particularly in liquid NYSE/AMEX stocks, and virtually none have significantly accentuated. The profits from a composite strategy based on all of the anomalies show a strong downward trend over time. We provide evidence that hedge fund assets under management, short interest, and the post-decimalization decline in trading costs, are associated with declines in anomaly-based trading strategy profits in recent years.

Number of Pages in PDF File: 50

Keywords: Anomalies, market efficiency, cross-section of returns

JEL Classification: G12, G14

working papers series


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Date posted: March 27, 2012 ; Last revised: November 14, 2013

Suggested Citation

Chordia, Tarun and Subrahmanyam, Avanidhar and Tong, Qing, Trends in Capital Market Anomalies (May 25, 2013). Available at SSRN: http://ssrn.com/abstract=2029057 or http://dx.doi.org/10.2139/ssrn.2029057

Contact Information

Tarun Chordia
Emory University - Department of Finance ( email )
Atlanta, GA 30322-2710
United States
404-727-1620 (Phone)
404-727-5238 (Fax)
Avanidhar Subrahmanyam (Contact Author)
University of California, Los Angeles (UCLA) - Finance Area ( email )
Los Angeles, CA 90095-1481
United States
310-825-5355 (Phone)
310-206-5455 (Fax)
Qing Tong
Singapore Management University - Lee Kong Chian School of Business ( email )
50 Stanford Road
Singapore, 178899
Singapore

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