Recent applications of extreme bound analysis (EBA) to stock market anomalies suggest that few variables are robust. This article extends this research and examines emerging and developed markets simultaneously. Among 15 purported anomalies, six variables – short-run lagged returns, momentum,...

Studies of emerging stock market anomalies are based on underspecified models. Extreme bound analysis (EBA), a technique to remedy specification bias, indicates that no anomaly is robust, given panel data covering sixteen countries from March 1988 through January 1995. Only under a relaxed...