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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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.

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