Sensitivity Analyses of Anomalies in Developed Stock Markets

Posted: 19 Jun 2019

Date Written: 2001

Abstract

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

Durham, J. Benson, Sensitivity Analyses of Anomalies in Developed Stock Markets (2001). Journal of Banking and Finance, Vol. 25, No. 8, 2001. Available at SSRN: https://ssrn.com/abstract=3402613

J. Benson Durham (Contact Author)

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