Abstract

https://ssrn.com/abstract=2816490
 


 



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


Heiko Jacobs


University of Mannheim, Finance Department

Sebastian Müller


German Graduate School of Management and Law

July 31, 2016


Abstract:     
Motivated by McLean and Pontiff (2016), we study the pre- and post-publication return predictability of 138 anomalies in 39 stock markets. Based on more than a million anomaly country-months, we find that the United States is the only country with a statistically significant and economically meaningful post-publication decline in long/short returns. The surprisingly large differences between the U.S. and international markets cannot be fully explained with general time effects or differences in limits to arbitrage, in-sample anomaly profitability, data availability, or local risk factor exposure. Our results have implications for the recent literature on arbitrage trading, data mining, and market segmentation.

Number of Pages in PDF File: 53

Keywords: Return Predictability, International Stock Markets, Limits of Arbitrage, Publication Impact, Anomalies, Trading Strategies

JEL Classification: G02, G12, G14, G15


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Date posted: August 2, 2016 ; Last revised: October 3, 2016

Suggested Citation

Jacobs, Heiko and Müller, Sebastian, Anomalies Across the Globe: Once Public, No Longer Existent? (July 31, 2016). Available at SSRN: https://ssrn.com/abstract=2816490 or http://dx.doi.org/10.2139/ssrn.2816490

Contact Information

Heiko Jacobs (Contact Author)
University of Mannheim, Finance Department ( email )
Mannheim, 68131
Germany
+49-(0)621-181-3453 (Phone)
+49-(0)621-181-1534 (Fax)
Sebastian Müller
German Graduate School of Management and Law ( email )
Bildungscampus 2
Heilbronn, 74076
Germany
+49-(0)7131645636861 (Phone)
+49-(0)713164563627 (Fax)
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