Auer, Benjamin R.; Rottmann, Horst - 2018
significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage … portfolio returns for four well-known anomalies (size, value, momentum and beta) in 21 developed stock markets and more advanced … statistical methodology (quantile regressions, Markov regime-switching models, panel estimation procedures), we arrive at two …