Are Equity Market Anomalies Disappearing? Evidence from the U.K.
36 Pages Posted: 23 Jan 2018
Date Written: January 15, 2018
We study the persistence over time of nine well-known equity market anomalies in the cross-section of U.K. stocks. We find strong evidence of diminished statistical significance for most of these anomalies including the return reversal and momentum effects. Two anomalies -- firm profitability and stock turnover -- remain quite robust throughout our sample period. These results hold for both portfolio sorts and Fama-MacBeth regression analyses and are robust to the use of alternative methods of risk adjustment. Our findings are consistent with improvements in market efficiency over time with respect to well-known anomaly variables.
Keywords: Anomalies, Asset Pricing, Market Efficiency
JEL Classification: G10, G12
Suggested Citation: Suggested Citation