The Existence and Persistence of Financial Anomalies: What Have You Done for Me Lately?

Posted: 12 Nov 2019

See all articles by John Guerard

John Guerard

McKinley Capital Management, LLC

Harry Markowitz

McKinley Capital Management, LLC

Date Written: December 21, 2018

Abstract

The purpose of this study is to document the existence, persistence, and effectiveness of publicly available variables linked to financial anomalies during the 1979–1999 time period with particular emphasis on earnings forecasts. It then tests whether these variables have held up through the 2003–2017 time period. We report three results: (a) many of the reported financial anomalies published in the 1979–1999 time period maintain their statistically significant active (or excess) returns; (b) the anomalies are larger in non‐U.S. markets than in the U.S.; and (c) reasonable transactions costs do not destroy the excess returns.

Full Text Available Here: https://doi.org/10.1002/cfp2.1022

Suggested Citation

Guerard, John and Markowitz, Harry, The Existence and Persistence of Financial Anomalies: What Have You Done for Me Lately? (December 21, 2018). Financial Planning Review, Vol. 1, Issue 3-4, September-December 2018. Available at SSRN: https://ssrn.com/abstract=3485645

John Guerard (Contact Author)

McKinley Capital Management, LLC ( email )

3301 C St # 500
Anchorage, AK 99503
United States

Harry Markowitz

McKinley Capital Management, LLC ( email )

3301 C St # 500
Anchorage, AK 99503
United States

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