Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity?

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 promi...

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Bibliographic Details
Main Authors: CHORDIA, Tarun, SUBRAHMANYAM, Avanidhar, tONG, Qing
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/4735
https://ink.library.smu.edu.sg/context/lkcsb_research/article/5734/viewcontent/CapitalMktAnomaliesHighLiqTradingAct_2014.pdf
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Institution: Singapore Management University
Language: English