Are Equity Market Anomalies Disappearing? Evidence from the U.K.

36 Pages Posted: 23 Jan 2018

See all articles by John Cotter

John Cotter

University College Dublin; UCLA Anderson School of Management

Niall McGeever

University College Dublin (UCD)

Date Written: January 15, 2018

Abstract

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

Cotter, John and McGeever, Niall, Are Equity Market Anomalies Disappearing? Evidence from the U.K. (January 15, 2018). Available at SSRN: https://ssrn.com/abstract=3102563 or http://dx.doi.org/10.2139/ssrn.3102563

John Cotter

University College Dublin ( email )

School of Business, Carysfort Avenue
Blackrock, Co. Dublin
Ireland
353 1 716 8900 (Phone)
353 1 283 5482 (Fax)

HOME PAGE: http://www.ucd.ie/bankingfinance/staff/professorjohncotter/

UCLA Anderson School of Management ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

Niall McGeever (Contact Author)

University College Dublin (UCD) ( email )

Belfield, Dublin 4 4
Ireland

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