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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...

Persistent link: https://www.econbiz.de/10014023856

Is momentum trading profitable from Shari'ah compliant stocks?

Li, Bob; Ee, Mong Shan; Rashid, Mamunur - In: Review of financial economics : RFE 31 (2016), pp. 56-63

Persistent link: https://www.econbiz.de/10011636646

The implied liquidity premium for equities

Fernholz, Robert; Karatzas, Ioannis - In: Annals of finance 2 (2006) 1, pp. 87-99

Persistent link: https://www.econbiz.de/10003229735

Market microstructure during financial crisis : dynamics of informed and heuristic-driven trading

Ormos, Mihály; Timotity, Dusán - In: Finance research letters 19 (2016), pp. 60-66

Persistent link: https://www.econbiz.de/10011657448

Momentum mechanisms under heterogeneous beliefs

Yan, Yu; Tong, Yan; Wang, Yiming - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10015359778

Retail investors' contrarian behavior around news, attention, and the momentum effect

Luo, Cheng; Ravina, Enrichetta; Sammon, Marco; Viceira, … - 2025

Persistent link: https://www.econbiz.de/10015455703

Can technical trading beat the foreign exchange market in times of crisis?

Yamani, Ehab - In: Global finance journal 48 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012886911

A model of information diffusion with asymmetry and confidence effects in financial markets

Yang, Haijun; Qi, Shu; Zhang, Zhou; Koslowsky, David - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-23

Persistent link: https://www.econbiz.de/10012822202

Discontinued positive feedback trading and the decline of momentum profitability

Ben-David, Itzhak; Li, Jiacui; Rossi, Andrea; Song, Yang - 2021

We present evidence that equity momentum strategies are partially driven by positive-feedback trading intermediated via …-feedback trading (including momentum in stocks, styles, and factors) experienced a profitability decline. Consistent with the proposed …

Persistent link: https://www.econbiz.de/10012582659

Short-term momentum

Schmeling, Maik; Medhat, Mamdouh - 2021

Persistent link: https://www.econbiz.de/10012484602