Anomaly Time

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

Topic: Anomaly Time

Speaker: Matthew Ringgenberg, University of Utah

Abstract: We examine when anomaly returns occur. We use a powerful database that contains the precise date on which accounting information is first made public. Despite recent findings to the contrary, once timing is considered, anomalies exist in the data. Anomaly returns are concentrated in the first 30 days after information announcements and all of the return occurs within the first 120 days. In recent years, anomaly returns are concentrated in the first five days after the announcement date. Moreover, hedge funds' reaction speed predicts their future performance. These results suggest that anomalies are real yet they are rapidly arbitraged away.

Date: Wednesday, 2 October 2019
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
               Building 8, Room 08.002, Dr Chau Chak Wing Building
               Dr Chau Chak Wing Building
              14 - 28 Ultimo Road, Ultimo

Co-ordinator: Claire Liu  (Ph: +61 2 9514 7748)

Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)