Anomalies Abroad: Beyond Data Mining
62 Pages Posted: 3 Aug 2017 Last revised: 23 Jan 2018
Date Written: January 9, 2018
A pre-specified set of nine prominent U.S. equity return anomalies produce significant alphas in Canada, France, Germany, Japan, and the U.K. All of the anomalies are consistently significant across these five countries, whose developed stock markets afford the most extensive data. The anomalies remain significant even in a test that assumes their true alphas equal zero in the U.S. Consistent with the view that anomalies reflect mispricing, idiosyncratic volatility exhibits a strong negative relation to return among stocks that the anomalies collectively identify as overpriced, similar to results in the U.S.
Keywords: Anomalies, Data Mining, Idiosyncratic Volatility, Mispricing
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