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Market-Based Solutions to Vital Economic Issues
Research
May 22, 2019

Anomaly Time

Abstract

We examine when anomaly returns occur. We use a powerful database that contains the precise date on which accounting information is first made public. Despite recent findings to the contrary, once timing is considered, anomalies exist in the data. Anomaly returns are concentrated in the first 30 days after information announcements and all of the return occurs within the first 120 days. In recent years, anomaly returns are concentrated in the first five days after the announcement date. Moreover, hedge funds’ reaction speed predicts their future performance. These results suggest that anomalies are real yet they are rapidly arbitraged away.

Note: Research papers posted on SSRN, including any findings, may differ from the final version chosen for publication in academic journals.


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