A Reexamination of the Issuance and Investment Anomalies in International Markets

This paper reexamines the issuance anomaly suggested by McLean, Pontiff, and Watanabe (2009) and the investment anomaly proposed by Titman, Wei, and Xie (2012) in international markets. We examine 40 non-U.S. stock markets across various aggregation levels. We find that international markets, unlike the U.S. market, demonstrate the following: (i) the issuance anomaly is not pervasive because it is largely linked to financial firms; (ii) the issuance anomaly is not persistent because it depends critically on monthly updating; and (iii) the evidence based on equal-weighted returns lends support to the issuance and investment anomalies, whereas the evidence from value-weighted returns is weak.