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Anomaly Time
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AI
DOI：10.1111/jofi.13372.png)
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摘要
En 中文
We examine the timing of returns around the publication of anomaly trading signals. Using a database that captures when information is first publicly released, we show that anomaly returns are concentrated in the first month after information release dates, and these returns decay soon thereafter. We also show that the academic convention of forming portfolios in June underestimates predictability because it uses stale information, which makes some anomalies appear insignificant. In contrast, we show many anomalies do predict returns if portfolios are formed immediately after information releases. Finally, we develop guidance on forming portfolios without using stale information.
Keyword:
CROSS-SECTION
MARKET
UNDERREACTION
PERFORMANCE
PSYCHOLOGY
DISCLOSURE
MODEL
期刊
IF:
9.5
论文数:
4.0K
被引数:
5.0W
机构
引用论文
Capital market effects of media synthesis and dissemination: evidence from robo-journalism媒体合成与传播的资本市场效应: 来自机器人新闻学的证据
PREAI
分享收藏A unified theory of underreaction, momentum trading, and overreaction in asset markets资产市场反应不足、动量交易和反应过度的统一理论.png)
JOURNAL OF FINANCE
OAAI
JOURNAL OF FINANCEIF9.5
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