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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

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...

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

New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets

Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023

Using a very large data set with more than 9,700 stocks listed on NYSE, AMEX and NASDAQ, we analyze overnight price jumps and report short-term investor overreaction to information shocks and document return reversal and predictability up to five days. For negative and positive overnight jumps,...

Persistent link: https://www.econbiz.de/10014254878

Short-sale constraints and stock returns : a systematic review

Khan, Mostafa Saidur Rahim - In: Journal of capital markets studies 8 (2024) 1, pp. 43-66

Purpose This study delves into the nuanced implications of short-sale constraints on stock prices within the context of stock market efficiency. While existing research has explored this relationship, inconsistencies persist in their findings. The purpose of this study is to conduct a...

Persistent link: https://www.econbiz.de/10015047535

Risk, Return, and Sentiment in a Virtual Asset Market

Montone, Maurizio; Zwinkels, Remco C. J. - 2021

The joint-hypothesis problem casts doubt on the results of market efficiency research. Specifically, it is hard to assess to what extent financial markets reflect economic fundamentals or mispricing. To address this issue, we study price formation in a large virtual asset market where...

Persistent link: https://www.econbiz.de/10013233921

The Idiosyncratic Momentum Anomaly

Blitz, David - 2020

This paper seeks to uncover the drivers of the idiosyncratic momentum anomaly. We show that: (I) idiosyncratic momentum is a distinct phenomenon that exists next to conventional momentum and is not explained by it; (ii) idiosyncratic momentum is priced in the cross-section of stock returns after...

Persistent link: https://www.econbiz.de/10012854431

Low Volatility Asset Valuation in Brazilian Stock Market : Lower Risk with Higher Returns

Boudjoukian França, Luciano; Avelar, Mario; Teles, Pedro - 2023

This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …

Persistent link: https://www.econbiz.de/10014349977

Aggregate Volatility Risk and the Cross-Section of Stock Returns : Australian Evidence

Mai, Van Anh (Vivian) - 2015

This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia …. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility … risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of …

Persistent link: https://www.econbiz.de/10013024559

Cross-sectional analysis of stock returns in Athens Stock Exchange for the period 2004-2011

Svingou, Argiro - In: Spoudai : journal of economics and business 63 (2013) 1/2, pp. 100-120

This study is an investigation of the factors affecting the average returns of stocks that were traded on the Athens Stock Exchange for the period July 2004 - June 2011. The methodological approach is similar to that applied by Fama and French (1992), in the first stage, stocks are grouped into...

Persistent link: https://www.econbiz.de/10010255677

Risk or Mispricing? Cross-Country Evidence on the Cross-Section of Stock Returns

Dong, Mike - 2019

Using a novel collection of market characteristics from 40 countries, this paper test competing explanations behind five major anomalies classified in Hou, Xue, and Zhang (2015): momentum, value-growth, investment, profitability, and trading frictions. Results show that anomaly returns highly...

Persistent link: https://www.econbiz.de/10012860225

Volatility Spreads and Expected Stock Returns

Bali, Turan G. - 2012

predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that …

Persistent link: https://www.econbiz.de/10013116882