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So You Discovered an Anomaly ... Gonna Publish It? An Investigation Into the Rationality of Publishing a Market Anomaly

48 Pages Posted: 11 Jan 2007  

James Doran

Implied Capital Advisors

Colbrin Wright

Brigham Young University

Date Written: January 22, 2007

Abstract

If publishing an anomaly leads to the dissipation of its profitability, a notion that has mounting empirical support, then publishing a highly profitable market anomaly seems to be irrational behavior. This paper explores the issue by developing and empirically testing a theory that argues that publishing a market anomaly may, in fact, be rational behavior. The theory predicts that researchers with few (many) publications and lesser (stronger) reputations have the highest (lowest) incentive to publish market anomalies. Employing probit models, simple OLS regressions, and principal component analysis, we show that (a) market anomalies are more likely to be published by researchers with fewer previous publications and who have been in the field for a shorter period of time and (b) the profitability of published market anomalies is inversely related to the common factor spanning the number of publications the author has and the number of years that have elapsed since the professor earned his Ph.D. The empirical results suggest that the probability of publishing an anomaly and the profitability of anomalies that are published are inversely related to the reputation of the authors. These results corroborate the theory that publishing an anomaly is rational behavior for an author trying to establish his or her reputation.

Keywords: Market Anomalies, Market Efficiency, Metafinance, Behavioral Finance

JEL Classification: G14, G12

Suggested Citation

Doran, James and Wright, Colbrin, So You Discovered an Anomaly ... Gonna Publish It? An Investigation Into the Rationality of Publishing a Market Anomaly (January 22, 2007). Available at SSRN: https://ssrn.com/abstract=956105 or http://dx.doi.org/10.2139/ssrn.956105

James Doran

Implied Capital Advisors ( email )

1942 Broadway Suite 409
Boulder, CO 80302
United States

Colbrin Wright (Contact Author)

Brigham Young University ( email )

United States
(801) 422 1224 (Phone)

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