The World of Anomalies: Smaller Than We Think?

84 Pages Posted: 11 Nov 2020 Last revised: 6 Jan 2021

See all articles by Fabian Hollstein

Fabian Hollstein

Leibniz University Hannover - School of Economics and Management

Date Written: September 22, 2020

Abstract

I examine a large set of 132 cross-sectional anomalies in international equity markets. While many of the significant U.S. anomalies replicate in equally weighted portfolios, only few survive when mitigating the impact of tiny stocks, accounting for multiple testing, and using factor models to adjust for expected returns. Accounting for the former two, only 15 anomalies yield significant long--short returns in the ex-U.S. world cross-section. Most of these are value anomalies. Factor models hardly seem necessary for Japan and the Middle East. In other international markets, the best U.S. factor models help shrink the cross-sections further.

Keywords: Anomalies, international capital markets, mispricing, data mining

JEL Classification: G15, G12, G11

Suggested Citation

Hollstein, Fabian, The World of Anomalies: Smaller Than We Think? (September 22, 2020). Available at SSRN: https://ssrn.com/abstract=3670504 or http://dx.doi.org/10.2139/ssrn.3670504

Fabian Hollstein (Contact Author)

Leibniz University Hannover - School of Economics and Management ( email )

Koenigsworther Platz 1
Hannover, 30167
Germany

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