The existence and persistence of financial anomalies: What have you done for me lately?

Abstract

The purpose of this study is to document the existence, persistence, and effectiveness of publicly available variables linked to financial anomalies during the 1979–1999 time period with particular emphasis on earnings forecasts. It then tests whether these variables have held up through the 2003–2017 time period. We report three results: (a) many of the reported financial anomalies published in the 1979–1999 time period maintain their statistically significant active (or excess) returns; (b) the anomalies are larger in non‐U.S. markets than in the U.S.; and (c) reasonable transactions costs do not destroy the excess returns.