The existing literature attributes the recent decay of stock market anomalies to increased arbitrage activities (e.g., Chordia, Subrahmanyam, and Tong, 2014; McLean and Pontiff, 2016; Green, Hand, and Zhang, 2017). In this paper, we present evidence that the apparent demise of several prominent classes of stock market anomalies is better explained by changes in underlying fundamentals. The attenuation of anomalies in the Momentum, Investment, and Profitability categories are accompanied by a reduced difference in fundamental performance between the long- and short-leg portfolios, as measured by the fundamental return from a two-capital investment CAPM. After accounting for the change in fundamental return, the attenuation of Investment and Profitability anomalies decreases to statistically insignificant levels. These results are consistent with the q-theory of investment, which attributes the attenuation of stock returns and fundamental returns of anomalies to the time variation in discount rates implied by fundamentals. We also show that neither academic publication nor proxies for increased arbitrage activities can explain the attenuation of these anomalies.

现有文献将最近股市异常的衰减归因于套利活动的增加（例如，Chordia、Subrahmanyam 和 Tong，2014 年；McLean 和 Pontiff，2016 年；Green、Hand 和 Zhang，2017 年）。在本文中，我们提供的证据表明，基本面的变化可以更好地解释几类显着的股市异常现象的明显消亡。动量、投资和盈利能力类别中异常现象的减弱伴随着多头和空头投资组合之间基本面表现差异的缩小，这是通过双资本投资 CAPM 的基本面回报来衡量的。在考虑到基本回报的变化后，投资和盈利能力异常的衰减降低到统计上不显着的水平。这些结果与投资的 q 理论一致，该理论将股票收益的衰减和异常的基本收益归因于基本面隐含的贴现率的时间变化。我们还表明，无论是学术出版物还是套利活动增加的代理都不能解释这些异常现象的减弱。