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- W3089688603 abstract "We are the first to demonstrate the decline in the cross-sectional predictability of country and industry returns in recent years. We examine 53 anomalies in country and industry indices from 64 markets for the years 1973–2018. The profitability of the strategies has significantly decreased recently, driven particularly by the disappearance of value and reversal effects. The phenomenon is strongest in large developed markets. Neither changes in country- and industry-specific risks, nor investor learning from the academic literature can explain the effect. Our findings support the view that the fall in return predictability is caused by the overall improvement in market efficiency." @default.
- W3089688603 created "2020-10-08" @default.
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- W3089688603 date "2020-12-01" @default.
- W3089688603 modified "2023-09-24" @default.
- W3089688603 title "Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns" @default.
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- W3089688603 doi "https://doi.org/10.1016/j.jbankfin.2020.105966" @default.
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