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Anomalies Abroad : Beyond Data Mining

Author: Xiaomeng Lu; Robert F Stambaugh; Yu Yuan; National Bureau of Economic Research.
Publisher: Cambridge, Mass. National Bureau of Economic Research 2017.
Series: Working paper series (National Bureau of Economic Research), no. w23809.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
A pre-specified set of nine prominent U.S. equity return anomalies produce significant alphas in Canada, France, Germany, Japan, and the U.K. All of the anomalies are consistently significant across these five countries, whose developed stock markets afford the most extensive data. The anomalies remain significant even in a test that assumes their true alphas equal zero in the U.S. Consistent with the view that  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Xiaomeng Lu; Robert F Stambaugh; Yu Yuan; National Bureau of Economic Research.
OCLC Number: 1008874555
Notes: September 2017.
Description: 1 online resource
Series Title: Working paper series (National Bureau of Economic Research), no. w23809.
Responsibility: Xiaomeng Lu, Robert F. Stambaugh, Yu Yuan.

Abstract:

A pre-specified set of nine prominent U.S. equity return anomalies produce significant alphas in Canada, France, Germany, Japan, and the U.K. All of the anomalies are consistently significant across these five countries, whose developed stock markets afford the most extensive data. The anomalies remain significant even in a test that assumes their true alphas equal zero in the U.S. Consistent with the view that anomalies reflect mispricing, idiosyncratic volatility exhibits a strong negative relation to return among stocks that the anomalies collectively identify as overpriced, similar to results in the U.S.

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