Anomalies Abroad: Beyond Data Mining
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.
We are grateful to Danting Chang, Zhe Geng, and Mengke Zhang for excellent research assistance. Yuan gratefully acknowledges financial support from the NSF of China (71522012). The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.