Anomalies across the globe: Once public, no longer existent?

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 United States is the only country with a reliable post-publication decline in long-short returns. Collectively, our meta-analysis of return predictors suggests that barriers to arbitrage trading can create segmented markets and that anomalies tend to represent mispricing instead of data mining.