Efficient scholars: academic attention and the disappearance of anomalies

Shanaev, Savva and Ghimire, Binam (2021) Efficient scholars: academic attention and the disappearance of anomalies. The European Journal of Finance, 27 (3). pp. 278-304. ISSN 1351-847X

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Official URL: https://doi.org/10.1080/1351847X.2020.1812684

Abstract

This study examines the dynamics of ten most notable stock market anomalies through 1926–2018 and assesses the joint impact of academic attention, post-publication decay, data-snooping bias, institutional trading, and time trend on their disappearance. It proposes new and simple measures of academic attention attracted by stock market anomalies using the number of articles published on the relevant topic available via Google Scholar or respective citation counts. The study finds that academic attention is the most dominant factor explaining the diminishing abnormal returns of anomaly-exploiting strategies. The approach developed by this study can also be useful in determining whether a stock return regularity is a behavioural anomaly or a systematic risk factor.

Item Type: Article
Uncontrolled Keywords: stock market anomaly, market efficiency, publication impact, Google Scholar
Subjects: N100 Business studies
N300 Finance
X900 Others in Education
Department: Faculties > Business and Law > Newcastle Business School > Accounting and Finance
Depositing User: John Coen
Date Deposited: 09 Dec 2020 14:45
Last Modified: 31 Jul 2021 17:04
URI: http://nrl.northumbria.ac.uk/id/eprint/44956

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