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Are equity market anomalies disappearing? Evidence from the U.K

Author

Listed:
  • John Cotter

    (University College Dublin)

  • Niall McGeever

    (University College Dublin)

Abstract

We study the persistence over time of nine well-known equity market anomalies in the cross-section of U.K. stocks. We find strong evidence of diminished statistical significance for most of these anomalies including the return reversal and momentum effects. Two anomalies – firm profitability and stock turnover – remain quite robust throughout our sample period. These results hold for both portfolio sorts and Fama-MacBeth regression analyses and are robust to the use of alternative methods of risk adjustment. Our findings are consistent with improvements in market efficiency overtime with respect to well-known anomaly variables.

Suggested Citation

  • John Cotter & Niall McGeever, 2018. "Are equity market anomalies disappearing? Evidence from the U.K," Working Papers 201804, Geary Institute, University College Dublin.
  • Handle: RePEc:ucd:wpaper:201804
    as

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    File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp201804.pdf
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    References listed on IDEAS

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    Blog mentions

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    1. Progress in economics
      by chris in Stumbling and Mumbling on 2018-05-04 11:43:28

    More about this item

    Keywords

    Anomalies; Asset Pricing; Market Efficiency;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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