Stock Market Anomalies PDF Download

Author: Elroy Dimson
Publisher: CUP Archive
ISBN: 9780521341042
Category : Business & Economics
Languages : en
Pages : 328

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Author: Katerina Lyroudi
Publisher:
ISBN:
Category :
Languages : en
Pages : 19

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This study examines empirically the day of the week effect anomaly in the Athens Stock Exchange (ASE). This phenomenon is observed in many developed and developing markets, according to the existing literature. The results of the most significant studies and the possible explanations of this anomaly are presented briefly in this paper. For the empirical part of the study, we used closing prices of the Composite Index for the period 03/01/1994-30/12/1999 and for the sub periods 03/01/1994-31/12/1996 and 02/01/1997-30/12/1999. In addition, we used closing prices of the FTSE20 Index for the period 25/07/1997-30/12/1999. Our results indicated that the day of the week effect is strongly observed in the Greek Stock market during the second sub period. However, it is in a different form than the one observed in the other developed capital markets since the negative returns occur on Thursdays instead of Mondays or Tuesdays as it has been observed in most of the other markets.

Author: Arthur Ritter
Publisher: GRIN Verlag
ISBN: 3656972001
Category : Business & Economics
Languages : en
Pages : 14

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Essay from the year 2014 in the subject Business economics - Business Management, Corporate Governance, grade: 16 (1,7), University of St Andrews (School of Management), course: Research Methods for Finance and Management, language: English, abstract: The size effect is a market anomaly in asset pricing according to the market efficiency theory. According to the current body of research, market anomalies arise either because of inefficiencies in the market or the underlying pricing model must be flawed. Anomalies in the financial markets are typically discovered form empirical tests. These tests usually rely jointly on one null hypothesis H0= markets are efficient AND they perform according to a specified equilibrium model (usually CAPM). Thus, if the empirical study rejects the H0, the reason could either be due to market inefficiency or due to the incorrect model. Market efficiency theory says that the price of an asset fully reflects all current information and is not predictable (Fama 1970). Fama (1997) states that market anomalies, even long‐term anomalies, are not an indicator for market inefficiencies due to the reason that they randomly split between “underreaction and overreaction, (so) they are consistent with market efficiency” (p. 284), they happen by chance and it is always possible to beat the market by chance. This essay will give an overview of the literature of the size effect and will stress the key theories, empirical methods and findings, as well as the existing body of research about this particular anomaly.

Author: Leonard Zacks
Publisher: John Wiley & Sons
ISBN: 1118127765
Category : Business & Economics
Languages : en
Pages : 352

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Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.

Author: Wing-Keung Wong
Publisher: Mdpi AG
ISBN: 9783036530802
Category : Business & Economics
Languages : en
Pages : 232

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Book Description
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Author: Nikolaos Eriotis
Publisher:
ISBN:
Category :
Languages : en
Pages : 16

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Book Description
The purpose of this paper is to investigate the existence of historical Market anomalies in the Athens Stock Market (ASE). The market anomalies that are going to be explored are technical ones concerning the trading rules of the various types of moving averages.The above anomalies were observed in most developed and developing markets. This study will investigate these effects for the most important index of the Athens market, the Athens General Index. The data used are for the period from 1/1/1990 to 31/12/2004. Overall, our results confirm the existence of technical anomalies in ASE and provide strong support for profitability of those technical trading rules.

Author: Qaiser Munir
Publisher: Taylor & Francis
ISBN: 1317270304
Category : Business & Economics
Languages : en
Pages : 272

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Book Description
The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.

Author: Leonard Zacks
Publisher: John Wiley & Sons
ISBN: 0470905905
Category : Business & Economics
Languages : en
Pages : 352

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Book Description
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.

Author: Qaiser Munir
Publisher: Routledge
ISBN: 1317270290
Category : Business & Economics
Languages : en
Pages : 271

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Book Description
The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.

Author: Sari Malahim
Publisher:
ISBN:
Category :
Languages : en
Pages : 8

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Book Description
This study aims to test the effect of company size on risk adjusted return in Amman Stock Exchange (ASE) and investigating if there are anomalies in that Bourse. According to efficient market hypothesis, risk adjusted return for small-capitalization (CAPS) must quietly equal risk adjusted return for large-capitalization(CAPS); otherwise, this will lead to breaking the efficient market hypothesis and existing of anomalies in Amman Stock Exchange. On this paper an attempt to investigate if there is a statistically difference between small-caps and large-caps risk adjusted return. And also an attempt to investigate the existing of anomalies in Amman Stock Exchange. The size of company was determined on the basis of the company total assets; to implement that criteria, the median for all companies was estimated, then companies less than median were considered as small- caps and companies more than median were considered as large- caps. The hypothesis of this study was examined by using parametric tests as one-sample test and paired sample test. It was found that there was a statically significant relationship between risk adjusted return between large-caps and small-caps and also found that the risk adjusted return for small caps outperform the risk adjusted return for large- caps. This study can be a source of help to technical analysts to benefit from that anomaly and to improve their investment strategies regarding that information. And it is also a source of help to academic people and researcher to perceive that inefficiency case.