Anomalies Across the Globe: Once Public, No Longer Existent?
55 Pages Posted: 2 Aug 2016 Last revised: 24 Jan 2017
Date Written: January 23, 2017
Motivated by McLean and Pontiff (2016), we study the pre- and post-publication return predictability of 231 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 insights have implications for the recent literature on arbitrage trading, anomaly data mining, market segmentation, and the meta-analysis of return predictors.
Keywords: return predictability, international stock markets, arbitrage, publication impact, anomalies, trading strategies, market segmentation
JEL Classification: G02, G12, G14, G15
Suggested Citation: Suggested Citation