Anomaly Time

60 Pages Posted: 10 Nov 2017 Last revised: 23 Nov 2020

See all articles by Boone Bowles

Boone Bowles

Mays Business School at Texas A&M University

Adam V. Reed

University of North Carolina Kenan-Flagler Business School

Matthew C. Ringgenberg

University of Utah - Department of Finance

Jacob R. Thornock

Brigham Young University

Date Written: November 23, 2020

Abstract

We examine when anomaly returns occur in order to understand if they exist. If anomalies are spurious, then anomaly returns should not depend on their proximity to the dates on which key anomaly information is released. Yet, they do. Using a powerful database containing the precise release date of relevant accounting information, we find returns to a large set of anomalies are concentrated in the first 30 trading days after information announcements. Moreover, this effect is getting stronger: in recent years, anomaly returns are concentrated in the first five days. Our results show anomalies are real but rapidly arbitraged away.

Keywords: anomalies, asset pricing, hedge fund performance, information economics

JEL Classification: G12, G14

Suggested Citation

Bowles, Boone and Reed, Adam V. and Ringgenberg, Matthew C. and Thornock, Jacob, Anomaly Time (November 23, 2020). Available at SSRN: https://ssrn.com/abstract=3069026 or http://dx.doi.org/10.2139/ssrn.3069026

Boone Bowles

Mays Business School at Texas A&M University ( email )

360Q Wehner Building
College Station, TX 77843-4218
United States

Adam V. Reed (Contact Author)

University of North Carolina Kenan-Flagler Business School ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

Matthew C. Ringgenberg

University of Utah - Department of Finance ( email )

David Eccles School of Business
Salt Lake City, UT 84112
United States

Jacob Thornock

Brigham Young University ( email )

Provo, UT 84602
United States
8014220828 (Phone)

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