Journal of Finance forthcoming
90 Pages Posted: 10 Nov 2017 Last revised: 8 Nov 2023
Date Written: November 6, 2023
We examine the timing of returns around the publication of anomaly trading signals. Using a database that measures when information is first publicly released, we show that anomaly returns are concentrated in the first month after information release dates, and these returns decay soon thereafter. We also show that the academic convention of forming portfolios in June underestimates predictability because it uses stale information, which makes some anomalies appear insignificant. In contrast, we show many anomalies do predict returns if portfolios are formed immediately after information releases. Finally, we develop guidance on forming portfolios without using stale information.
Keywords: anomalies, asset pricing, information economics
JEL Classification: G12, G14
Suggested Citation: Suggested Citation