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

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