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Beyond the random walk : a guide to stock market anomalies and low risk investing

Singal, Vijay - 2006 - 1. issued as an Oxford pbk.

Persistent link: https://www.econbiz.de/10003982793

Pricing deviation, misvaluation comovement, and macroeconomic conditions

Chang, Eric Chieh; Luo, Yan; Ren, Jinjuan - In: Journal of banking & finance 37 (2013) 12, pp. 5285-5299

Persistent link: https://www.econbiz.de/10010343728

Assessing asset pricing anomalies

Groot, Wilma de - 2017

Persistent link: https://www.econbiz.de/10011862366

Do arbitragers exploit the January effect?

Lasser, Dennis J.; Wang, Xue - In: Frontiers of business research in China : selected … 9 (2015) 4, pp. 481-515

Persistent link: https://www.econbiz.de/10011490583

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and … that suit their risk preferences and behavioral traits predicted from behavioral models. Finally, when EMH, anomalies and …

Persistent link: https://www.econbiz.de/10012237439

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...

Persistent link: https://www.econbiz.de/10010431281

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

Persistent link: https://www.econbiz.de/10010431600

Long-term price overreactions : are markets enefficient?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...

Persistent link: https://www.econbiz.de/10010467097

Short-term price overreaction : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

Persistent link: https://www.econbiz.de/10010438074

Data-driven investigation into anomaly trading strategies : evidence with econometrics

French, Jordan - 2019

Persistent link: https://www.econbiz.de/10012126157