Sensitivity Analyses of Anomalies in Developed Stock Markets
Posted: 19 Jun 2019
Date Written: 2001
The literature on anomalies in developed stock markets produces no consensus on specification. This study uses extreme bound analysis (EBA) to evaluate the robustness of 15 stock-return anomalies given data covering 16 developed markets from May 1984 to March 1999. Two factors are sturdy according to the “extreme” decision rule in the panel design – D/P and momentum. Under a less stringent EBA criterion, long-run lagged returns, country risk, and the January effect are also robust. Time-series EBA for individual markets produces one robust result according to relaxed decision rules across a majority of cases – long-run government bond yields.
Keywords: extreme bound analysis, stock market anomalies, specification bias
JEL Classification: G12, C51
Suggested Citation: Suggested Citation