| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23809 |
| 来源ID | Working Paper 23809 |
| Anomalies Abroad: Beyond Data Mining | |
| Xiaomeng Lu; Robert F. Stambaugh; Yu Yuan | |
| 发表日期 | 2017-09-18 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w23809 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581483 |
| 推荐引用方式 GB/T 7714 | Xiaomeng Lu,Robert F. Stambaugh,Yu Yuan. Anomalies Abroad: Beyond Data Mining. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23809.pdf（350KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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