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

44 Pages Posted: 2 Aug 2016 Last revised: 7 Oct 2018

Heiko Jacobs

University of Duisburg-Essen, Campus Essen

Sebastian Müller

German Graduate School of Management and Law

Date Written: September 30, 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

Suggested Citation

Jacobs, Heiko and Müller, Sebastian, Anomalies Across the Globe: Once Public, No Longer Existent? (September 30, 2018). Available at SSRN: https://ssrn.com/abstract=2816490 or http://dx.doi.org/10.2139/ssrn.2816490

Heiko Jacobs (Contact Author)

University of Duisburg-Essen, Campus Essen ( email )

Universitätsstr. 9
Essen, 45141
Germany
+49-(0)621-181-3453 (Phone)
+49-(0)621-181-1534 (Fax)

HOME PAGE: http://sites.google.com/site/heikojacobsfinance/

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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