Anomaly Time

51 Pages Posted: 10 Nov 2017 Last revised: 6 Apr 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 Ringgenberg

University of Utah - Department of Finance

Jacob R. Thornock

Brigham Young University

Date Written: April 5, 2020

Abstract

We use a simple methodology to examine a big question: are asset-pricing anomalies spurious? If anomalies are spurious, then anomaly returns should not depend on their proximity to information release dates. Yet, we find that they do. Using a powerful database containing the precise date on which accounting information becomes public, we find returns to a large set of anomalies are concentrated in the 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 yet they are 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 (April 5, 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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