We examine the timing of returns around the publication of anomaly trading signals. Using a database that captures when information is first publicly released, we show that anomaly returns are concentrated in the first month after information release dates, and these returns decay soon thereafter. We also show that the academic convention of forming portfolios in June underestimates predictability because it uses stale information, which makes some anomalies appear insignificant. In contrast, we show many anomalies do predict returns if portfolios are formed immediately after information releases. Finally, we develop guidance on forming portfolios without using stale information.

中文翻译：

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 异常时间


我们检查异常交易信号发布前后的回报时间。使用捕获信息首次公开发布时间的数据库，我们发现异常回报集中在信息发布日期后的第一个月，并且这些回报很快就会衰减。我们还表明，六月形成投资组合的学术惯例低估了可预测性，因为它使用了陈旧的信息，这使得一些异常现象显得微不足道。相比之下，我们发现，如果在信息发布后立即形成投资组合，许多异常现象确实可以预测回报。最后，我们制定了在不使用陈旧信息的情况下形成投资组合的指南。