Motivated by existing evidence of the salience theory (ST) effect in the United States, we investigate its importance in 49 countries over the past three decades. Initial results suggest a negative relationship between the ST measure and future returns. The underperformance of low ST stocks is the strongest in countries with high idiosyncratic risk. However, the salience effect has three vital limitations. First, a substantial part of the anomaly can be attributed to the short-term return reversal. Second, it is priced primarily among microcaps. Third, the premium is realized predominantly following severe down markets and volatility spikes. Outside of microcaps and extreme market conditions, the salience effect does not exist.

受美国显着性理论 (ST) 效应的现有证据的启发，我们调查了它在过去 30 年中在 49 个国家/地区的重要性。初步结果表明 ST 指标与未来回报之间存在负相关关系。在特殊风险高的国家，低位 ST 股票的表现最差。然而，显着效应具有三个重要的局限性。首先，异常的很大一部分可归因于短期回报逆转。其次，它的定价主要是在微型股中。第三，溢价主要是在市场严重下跌和波动性飙升之后实现的。在微市值和极端市场条件之外，不存在显着效应。