The Rational Reminder Podcast

Episode 342 - Matthew Ringgenberg: When Do Anomaly Returns Happen?

15 snips
Jan 30, 2025
Guest
Matthew Ringgenberg
Matthew Ringgenberg, a finance professor at the University of Utah, dives into the intriguing realm of anomaly returns. He defines asset pricing anomalies and discusses when these returns emerge in relation to signal information releases. The conversation touches on the predictive power of various models and explores the significance of equity loan fees in forecasting market outcomes. Ringgenberg also argues for the necessity of long-term happiness as a measure of true success, challenging conventional investment wisdom.
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INSIGHT

Asset Pricing Anomaly Definition

  • An asset pricing anomaly is a trading signal predicting future stock returns.
  • More specifically, it predicts abnormal returns beyond normal market behavior.
INSIGHT

Timing of Anomaly Returns

  • Anomaly returns concentrate right after the release of information needed for the trading strategy.
  • The asset growth anomaly’s returns are strongest right after asset information is released.
INSIGHT

Trend of Anomaly Returns Timing

  • Over the last few decades, anomaly returns happen closer to information release dates.
  • Traders are getting faster at processing information and acting on it.
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