Anomalies across the globe: Once public, no longer existent?
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DOI: 10.1016/j.jfineco.2019.06.004
Abstract: Abstract Motivated by McLean and Pontiff (2016), we study the pre- and post-publication return predictability of 241 cross-sectional anomalies in 39 stock markets. We find, based on more than two million anomaly country-months, that the… read more here.
Keywords: across globe; globe public; anomalies across; longer existent ... See more keywords