Anomaly Time
研究了异常交易信号发布后回报的时间模式，发现异常回报集中在信息发布后的第一个月并迅速衰减，同时指出六月建仓的学术惯例因使用过时信息而低估了可预测性。
ABSTRACT 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.