Anomalies Abroad: Beyond Data Mining

48 Pages Posted: 18 Sep 2017 Last revised: 23 Jul 2023

See all articles by Xiaomeng Lu

Xiaomeng Lu

Fudan University, Fanhai International School of Finance

Robert F. Stambaugh

University of Pennsylvania - The Wharton School; National Bureau of Economic Research (NBER)

Yu Yuan

Shanghai Mingshi Investment Company; University of Pennsylvania - Wharton Financial Institutions Center

Multiple version iconThere are 2 versions of this paper

Date Written: September 2017

Abstract

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.

Suggested Citation

Lu, Xiaomeng and Stambaugh, Robert F. and Yuan, Yu, Anomalies Abroad: Beyond Data Mining (September 2017). NBER Working Paper No. w23809, Available at SSRN: https://ssrn.com/abstract=3038619

Xiaomeng Lu (Contact Author)

Fudan University, Fanhai International School of Finance ( email )

220 Handan Road
Shanghai, 100045
China

Robert F. Stambaugh

University of Pennsylvania - The Wharton School ( email )

The Wharton School, Finance Department
University of Pennsylvania
Philadelphia, PA 19104-6367
United States
215-898-5734 (Phone)
215-898-6200 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Yu Yuan

Shanghai Mingshi Investment Company ( email )

488 M Yincheng Road
Shanghai
China

University of Pennsylvania - Wharton Financial Institutions Center

3733 Spruce Street
Philadelphia, PA 19104-6374
United States

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