Anomalies Abroad: Beyond Data Mining / Xiaomeng Lu, Robert F. Stambaugh, Yu Yuan.

Format:

Book

Author/Creator:

Lu, Xiaomeng.

Contributor:

National Bureau of Economic Research.

Stambaugh, Robert F.

Yuan, Yu.

Series:

Working Paper Series (National Bureau of Economic Research) no. w23809.

NBER working paper series no. w23809

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Anomalies Abroad

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2017.

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 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.

Notes:

Print version record

September 2017.