51 Pages Posted: 10 Nov 2017 Last revised: 6 Apr 2020
Date Written: April 5, 2020
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: Suggested Citation