monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks …

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 …

optimistic periods, it delivers insignificant overall predictability. This is because in the aftermath of the 2008 financial …

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum … the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% to an insignificant 1 ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …

Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality … that none of these momentum investing strategies was profitable. Most of the results, however, show positive, but … insignificant momentum returns. This finding can be interpreted as price reversal over a horizon of three to twelve months in the US …

“anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii …In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics … five days at a time. Properties of the estimated processes are described via an analysis of return quantiles, momentum … functions that measure the response of tail probabilities to such moves. Momentum and reversion are also addressed via the …