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Chapter 15 Anomalies and market efficiency

Schwert, G. William - 2003

Anomalies are empirical results that seem to be inconsistent with maintained theories of asset-pricing behavior. They indicate either market inefficiency (profit opportunities) or inadequacies in the underlying asset-pricing model. After they are documented and analyzed in the academic...

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Testing the accruals anomaly based on the speed of price adjustment

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Beyond Fama-French factors : alpha from short-term signals

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What drives the distress risk-return puzzle? : a perspective on limits of arbitrage

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The other month effect : a re-examination of the "other January" anomaly

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Macroeconomic factors and company value in the context of the Ohlson residual income valuation model : empirical findings from Greece

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Empirical asset pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller

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M-Squared and ranking issues for risky assets

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