Shanghai Advanced Institute of Finance
Shanghai Jiao Tong University
Datong Plaza, 211 West Huaihai Road, Shanghai
NBER Working Papers and Publications
|September 2017||Anomalies Abroad: Beyond Data Mining|
with Robert F. Stambaugh, Yu Yuan: w23809
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.