Sensitivity analyses of anomalies in developed stock markets

The literature on anomalies in developed stock markets produces no consensu s on specification. This study uses extreme bound analysis (EBA) to evaluat e the robustness of 15 stock-return anomalies given data covering 16 develo ped markets from May 1984 to March 1999. Two factors are sturdy according t o the "extreme" decision rule in the panel design - D/P and momentum. Under a less stringent EBA criterion. long-run lagged returns, country risk, and the January effect are also robust. Time-series EBA for individual markets produces one robust result according to relaxed decision rules across a ma jority of cases - long-run government bond yields. (C) 2001 Elsevier Scienc e B.V. All rights reserved.