Anomaly Time

Journal of Finance forthcoming

90 Pages Posted: 10 Nov 2017 Last revised: 8 Nov 2023

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

Jake Thornock

Brigham Young University

Date Written: November 6, 2023

Abstract

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

Bowles, Boone and Reed, Adam V. and Ringgenberg, Matthew C. and Thornock, Jacob, Anomaly Time (November 6, 2023). Journal of Finance forthcoming, 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

HOME PAGE: http://boonebowles.com

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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