کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5086718 | 1375267 | 2014 | 18 صفحه PDF | دانلود رایگان |
- We examine if capital market anomalies have attenuated in recent years.
- These years have been accompanied by significant liquidity increases.
- We find that the majority of the anomalies have attenuated.
- Returns to anomalies have approximately halved after decimalization.
- Thus, policies to increase liquidity stimulate market efficiency.
We examine whether the recent regime of increased liquidity and trading activity is associated with attenuation of prominent equity return anomalies due to increased arbitrage. We find that the majority of the anomalies have attenuated and the average returns from a portfolio strategy based on prominent anomalies have approximately halved after decimalization. We provide evidence that hedge fund assets under management, short interest and aggregate share turnover have led to the decline in anomaly-based trading strategy profits in recent years. Overall, our work indicates that policies to stimulate liquidity and ameliorate trading costs improve capital market efficiency.
Journal: Journal of Accounting and Economics - Volume 58, Issue 1, August 2014, Pages 41-58