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

55 Pages Posted: 2 Aug 2016 Last revised: 24 Jan 2017

Heiko Jacobs

University of Mannheim, Finance Department

Sebastian Müller

German Graduate School of Management and Law

Date Written: January 23, 2017

Abstract

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

Jacobs, Heiko and Müller, Sebastian, Anomalies Across the Globe: Once Public, No Longer Existent? (January 23, 2017). Available at SSRN: https://ssrn.com/abstract=2816490 or http://dx.doi.org/10.2139/ssrn.2816490

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)

HOME PAGE: http://weber.bwl.uni-mannheim.de/mitarbeiter/heiko_jacobs/

Sebastian Müller

German Graduate School of Management and Law ( email )

Bildungscampus 2
Heilbronn, 74076
Germany
+49-(0)7131645636861 (Phone)
+49-(0)713164563627 (Fax)

Paper statistics

Downloads
744
Rank
25,846
Abstract Views
2,209