Narrow search
Showing 1 - 10 of 58,824
Cover Image
Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies 8 (2020) 1, pp. 1-51
tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against … evidence of anomalies, so that many theories have been developed to explain some anomalies. To address the issue, this paper … reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …
Persistent link: https://www.econbiz.de/10013199649
Cover Image
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
tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against … evidence of anomalies, so that many theories have been developed to explain some anomalies. To address the issue, this paper … reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …
Persistent link: https://www.econbiz.de/10012237439
Cover Image
Modelling the Efficent Frontier of Investments Portfolio
Dimitriu, Maria; Dinu, Maria-Ramona; Caracota, Razvan … - In: Knowledge Horizons - Economics 6 (2014) 3, pp. 35-40
The portfolio is a collection of financial assets (CDs, bills, bonds, common stock) and real assets. The financial securities held in the portfolio are organized according to the investor's interests in categories, maturities, yield levels etc. Combining these financial instruments according to...
Persistent link: https://www.econbiz.de/10011200146
Cover Image
Investor Psychology and Asset Pricing
Hirshleifer, David - Volkswirtschaftliche Fakultät, … - 2001
The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework for...
Persistent link: https://www.econbiz.de/10005619847
Cover Image
Value, Size and Momentum Portfolios in Real Time: The Cross-Section of South African Stocks
Bartens, Ryans; Hassan, Shakill - Economic Research Southern Africa (ERSA) - 2009
We implement a recursive out-of-sample method to examine anomalies-based ex-ante predictability in the cross-section of …
Persistent link: https://www.econbiz.de/10008563288
Cover Image
Post-earnings announcement abnormal return in the Chinese equity market
Truong, Cameron - In: Journal of International Financial Markets, … 21 (2011) 5, pp. 637-661
This study examines the profitability of trading on earnings surprises in the post-earnings-announcement period in the Chinese stock market from 1994 to 2009. We find that a post-earnings-announcement drift (PEAD) anomaly exists in China. When earnings surprise is defined relative to analyst...
Persistent link: https://www.econbiz.de/10010576371
Cover Image
Another look at trading costs and short-term reversal profits
de Groot, Wilma; Huij, Joop; Zhou, Weili - In: Journal of Banking & Finance 36 (2012) 2, pp. 371-382
Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once trading costs are taken into account. We show that the impact of trading costs on the strategies’ profitability can largely be attributed to excessively trading in small cap...
Persistent link: https://www.econbiz.de/10010577945
Cover Image
Capital market anomalies and quantitative research
Birru, Justin; Gokkaya, Sinan; Liu, Xi - 2018
Quantitative research analysts (Quants) produce in-depth quantitative and econometric modeling of market anomalies to …
Persistent link: https://www.econbiz.de/10011969132
Cover Image
Asymmetric Extreme Tails and Prospective Utility of Momentum Returns
Gregory-Allen, Russell B. - 2012
We use extreme value theory to analyse the tails of a momentum strategy's return distribution. The asymmetry between the fat left tail and thin right tail strongly reduces a momentum strategy's prospective utility levels
Persistent link: https://www.econbiz.de/10013115667
Cover Image
The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly
Maberly, Edwin; Pierce, Raylene - In: Asia-Pacific Financial Markets 10 (2003) 4, pp. 319-334
Bouman and Jacobsen (American Economic Review 92(5), 1618–1635, 2002) examine monthly stock returns for major world stock markets and conclude that returns are significantly lower during the May–October periods versus the November–April periods in 36 of 37 markets examined. They argue...
Persistent link: https://www.econbiz.de/10005684898