Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns✰
| dc.contributor.author | Adam Zaremba | |
| dc.contributor.author | Mehmet Umutlu | |
| dc.contributor.author | Alina Maydybura | |
| dc.contributor.author | Maydybura, Alina | |
| dc.contributor.author | Zaremba, Adam | |
| dc.contributor.author | Umutlu, Mehmet | |
| dc.date.accessioned | 2025-10-06T17:50:49Z | |
| dc.date.issued | 2020 | |
| dc.description.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. © 2020 Elsevier B.V. All rights reserved. | |
| dc.description.sponsorship | Narodowe Centrum Nauki, NCN | |
| dc.description.sponsorship | National Science Centre of Poland [2016/23/B/HS4/00731] | |
| dc.description.sponsorship | We thank Heiko Jacobs, Gokhan Sonaer, and Charlie Cai for helpful comments that benefited the article. Any remaining errors are our own. Adam Zaremba acknowledges the support of the National Science Centre of Poland (project no. 2016/23/B/HS4/00731). | |
| dc.description.sponsorship | ✰This paper is a part of project no. 2016/23/B/HS4/00731 of the National Science Centre of Poland. | |
| dc.identifier.doi | 10.1016/j.jbankfin.2020.105966 | |
| dc.identifier.issn | 03784266 | |
| dc.identifier.issn | 0378-4266 | |
| dc.identifier.issn | 1872-6372 | |
| dc.identifier.scopus | 2-s2.0-85092238479 | |
| dc.identifier.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85092238479&doi=10.1016%2Fj.jbankfin.2020.105966&partnerID=40&md5=cf4d564d1a443cc8cd4fcbf8cd9c2bd4 | |
| dc.identifier.uri | https://gcris.yasar.edu.tr/handle/123456789/9134 | |
| dc.identifier.uri | https://doi.org/10.1016/j.jbankfin.2020.105966 | |
| dc.language.iso | English | |
| dc.publisher | Elsevier B.V. | |
| dc.relation.ispartof | Journal of Banking & Finance | |
| dc.rights | info:eu-repo/semantics/closedAccess | |
| dc.source | Journal of Banking and Finance | |
| dc.subject | Behavioral Finance, Country Returns, Equity Anomalies, Industry Returns, International Investment, Investor Learning, Long-run Reversal, Low-risk, Market Efficiency, Momentum, Return Predictability, Seasonality, Size, Structural Breaks, Value | |
| dc.subject | Behavioral Finance | |
| dc.subject | Momentum | |
| dc.subject | Country Returns | |
| dc.subject | Investor Learning | |
| dc.subject | International Investment | |
| dc.subject | Size | |
| dc.subject | Structural Breaks | |
| dc.subject | Equity Anomalies | |
| dc.subject | Return Predictability | |
| dc.subject | Low-risk | |
| dc.subject | Long-Run Reversal | |
| dc.subject | Industry Returns | |
| dc.subject | Value | |
| dc.subject | Seasonality | |
| dc.subject | Market Efficiency | |
| dc.title | Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns✰ | |
| dc.type | Article | |
| dspace.entity.type | Publication | |
| gdc.author.id | Zaremba, Adam/0000-0001-5879-9431 | |
| gdc.author.id | Umutlu, Mehmet/0000-0003-1353-2922 | |
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| gdc.author.wosid | Umutlu, Mehmet/IWM-3632-2023 | |
| gdc.author.wosid | Zaremba, Adam/C-9298-2016 | |
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| gdc.description.department | ||
| gdc.description.departmenttemp | [Zaremba, Adam] Montpellier Business Sch, Dept Financial Legal & Accounting Management, Montpellier, France; [Umutlu, Mehmet] Yasar Univ, Fac Business, Dept Int Trade & Finance, 35-37 Agacli Yol, PK-35100 Izmir, Turkey; [Maydybura, Alina] Univ Dubai, Dubai Business Sch, Dubai, U Arab Emirates; [Zaremba, Adam] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Poznan, Poland | |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | |
| gdc.description.startpage | 105966 | |
| gdc.description.volume | 121 | |
| gdc.description.woscitationindex | Social Science Citation Index | |
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| gdc.virtual.author | Umutlu, Mehmet | |
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| person.identifier.scopus-author-id | Zaremba- Adam (37121242800), Umutlu- Mehmet (26535275600), Maydybura- Alina (57202252335) | |
| project.funder.name | ✰This paper is a part of project no. 2016/23/B/HS4/00731 of the National Science Centre of Poland. | |
| publicationvolume.volumeNumber | 121 | |
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