发表期刊：Journal of International Money and Finance
发表时间：Sep 2024
作者及单位：Fuwei Jiang (Department of Finance at School of Economics, Wang Yanan Institute for Studies in Economics, Xiamen University), Hongkui Liu*, Guohao Tang, Jiasheng Yu
摘要：This paper constructs a global anomaly index based on the long-short portfolio returns of 153 anomalies across 33 stock markets. We find that global anomaly index is a strong negative predictor of aggregate stock returns in international markets, both in-sample and out-of-sample. The index delivers considerable economic value for a mean–variance investor. Moreover, it captures global common changes in overpricing, and is not subsumed by extant return predictors. Its predictive power arises from global asymmetric mispricing correction persistence, and partly from the ability to forecast sentiment-changes. Furthermore, we demonstrate significant transfer learning from the U.S. market to other markets in terms of time series predictions.
关键词：Anomaly; Global mispricing; International stock markets; Return predictability; Sentiment; Transfer Learning
