NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Anomalies Abroad: Beyond Data Mining

Xiaomeng Lu, Robert F. Stambaugh, Yu Yuan

NBER Working Paper No. 23809
Issued in September 2017
NBER Program(s):Asset Pricing

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.

You may purchase this paper on-line in .pdf format from SSRN.com ($5) for electronic delivery.

Access to NBER Papers

You are eligible for a free download if you are a subscriber, a corporate associate of the NBER, a journalist, an employee of the U.S. federal government with a ".GOV" domain name, or a resident of nearly any developing country or transition economy.

If you usually get free papers at work/university but do not at home, you can either connect to your work VPN or proxy (if any) or elect to have a link to the paper emailed to your work email address below. The email address must be connected to a subscribing college, university, or other subscribing institution. Gmail and other free email addresses will not have access.

E-mail:

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w23809

Users who downloaded this paper also downloaded* these:
Goetzmann and Kim w23830 Negative Bubbles: What Happens After a Crash
Bordalo, Gennaioli, La Porta, and Shleifer w23863 Diagnostic Expectations and Stock Returns
Gonçalves, Xue, and Zhang w23910 Does the Investment Model Explain Value and Momentum Simultaneously?
Kaplan and Sorensen w23832 Are CEOs Different? Characteristics of Top Managers
Barbon, Di Maggio, Franzoni, and Landier w24089 Brokers and Order Flow Leakage: Evidence from Fire Sales
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us