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

• Main Authors: CHORDIA, Tarun, SUBRAHMANYAM, Avanidhar, tONG, Qing
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Cross-section of stock returns; Anomalies; Market efficiency; Business; Finance and Financial Management
• 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
• Institution: Singapore Management University

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...