.png){kind=icon}
.png){kind=icon}
Return
Anomaly Time
.png){kind=icon}
PRE
AI
DOI：10.1111/jofi.13372.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
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.
Keywords:
CROSS-SECTION
MARKET
UNDERREACTION
PERFORMANCE
PSYCHOLOGY
DISCLOSURE
MODEL
Journal
IF:
9.5
Papers:
4.0K
Citations:
5.0W
Organization
View more organizations