60 Pages Posted: 10 Nov 2017 Last revised: 23 Nov 2020
Date Written: November 23, 2020
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: Suggested Citation