Construct · 1 fields · 1 citations

post-publication anomaly decay: a standalone construct

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post-publicationanomaly decay1 CONSTRUCTPost-publication anomalyMCLEAN · ASSET PRICING

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Asset pricing

the decline in returns to documented anomalies after academic publication, attributed partly to investors trading on the published findings.

In asset pricing, post-publication anomaly decay refers to the decline in returns to documented anomalies after academic publication, attributed partly to investors trading on the published findings. This meaning comes from Mclean (2016) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

anomaly4 fields · 7 citationsjingle · one word, four constructsasset2 fields · 2 citationsjingle · one word, two constructsdecay4 fields · 5 citationsjingle · one word, four constructs

References

  1. Mclean, R. D., & Pontiff, J. (2016). Does Academic Research Destroy Stock Return Predictability? The Journal of Finance, 71(1), 5-32. https://doi.org/10.1111/jofi.12365

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