Keywords
return timing, information release, stale information
Abstract
We examine the timing of returns around the publication of anomaly trading signals. Using a database that captures when information is first publicly released, we show that anomaly returns are concentrated in the first month after information release dates, and these returns decay soon thereafter. We also show that the academic convention of forming portfolios in June underestimates predictability because it uses stale information, which makes some anomalies appear insignificant. In contrast, we show many anomalies do predict returns if portfolios are formed immediately after information releases. Finally, we develop guidance on forming portfolios without using stale information.
Original Publication Citation
“Anomaly Time” (with Boone Bowles, Adam Reed, and Matt Ringgenberg). Journal of Finance (2024) 79 (5): 3543-3579
BYU ScholarsArchive Citation
Bowles, Boone; Reed, Adam V.; Ringgenberg, Matthew C.; and Thornock, Jacob, "Anomaly Time" (2024). Faculty Publications. 8579.
https://scholarsarchive.byu.edu/facpub/8579
Document Type
Peer-Reviewed Article
Publication Date
2024
Publisher
Journal of Finance
Language
English
College
Marriott School of Business
Department
Accountancy
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