Download or read book Essays in Stock Market Anomalies written by Lin Yu and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Stock Market Anomalies written by Hao Zhang and published by . This book was released on 1991 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Stock Market Anomalies in Europe written by Kathrin Tauscher and published by . This book was released on 2014 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Stock Market Anomalies written by Eric Campbell Full Yet Lam and published by . This book was released on 2009 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Stock Market Anomalies and the Cross section of Expected Returns written by Jochim Georg Lauterbach and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Stock Market Anomalies Behavioral Finance and Financial Econometrics written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Market Anomalies written by Elroy Dimson and published by CUP Archive. This book was released on 1988-03-17 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Two Financial Market Anomalies written by Hui Wang and published by . This book was released on 2005 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Market Anomalies and Efficient Market Hypothesis written by Ehab Yamani and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three distinct essays. The first essay investigates the risk interpretation of the investment premium by empirically examining the fundamental view versus the sentimental view. Overall, the results show that financial factors are the dominant driver of investment returns and they control the negative relation between investment and stock return. In the second essay, I examine the impact of financial contagion resulting from four global financial crises based on analyses of the global value premium. Results show that equity markets become more integrated after financial crises that exhibit global effects but less integrated after crises that exhibit regional effects. Overall findings support the risk story of the global value premium. The third essay examines the joint dynamics of volume and volatility in the junk bond market during the 2007-2008 financial crisis. Using trading volume information as a proxy for changes in the information set available to investors when financial crises occur, I investigate the impact of the subprime crisis on the informational efficiency of the junk bond market. The overall results show that the crisis does not have an impact on the market efficiency of the junk bond market.

Download or read book Market Efficiency and Market Anomalies written by Colbrin Alan Wright and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: I study the topics of market efficiency and anomalies to market efficiency by focusing on finance professors in their joint roles as both researchers and market participants. I ask three main research questions: (1) how efficient do finance professors believe US stock markets are and does their opinion of market efficiency influence their investing behavior, (2) what really matters to finance professors when they buy and sell stocks, and (3) why do finance professors publish market anomalies?

Download or read book The Market Anomaly Size Effect Literature Review Key Theories and Empirical Methods written by Arthur Ritter and published by GRIN Verlag. This book was released on 2015-06-02 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Three Essays on Global Stock Markets written by Mengmeng Dong (Professor of finance) and published by . This book was released on 2018 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation consists of three sole-authored essays that study global stock returns. The first one “Global Anomalies” estimates the aggregated return predictability of 117 U.S. anomalies across 40 countries. These anomaly variables generate substantial return predictability when they are aggregated within the same category as defined in Hou, Xue, and Zhang (2015) using composite measures. Combining all six categories of anomaly variables into one single composite measure, a global hedge portfolio generates an average equal (value)-weighted monthly return of 2.15% (1.20%) with a t-statistic of 9.22 (4.66). These results highlight the importance of using composite measures to summarize the information contained in individual anomaly variables. My dissertation consists of three sole-authored essays that study global stock returns. The first one “Global Anomalies” estimates the aggregated return predictability of 117 U.S. anomalies across 40 countries. These anomaly variables generate substantial return predictability when they are aggregated within the same category as defined in Hou, Xue, and Zhang (2015) using composite measures. Combining all six categories of anomaly variables into one single composite measure, a global hedge portfolio generates an average equal (value)-weighted monthly return of 2.15% (1.20%) with a t-statistic of 9.22 (4.66). These results highlight the importance of using composite measures to summarize the information contained in individual anomaly variables. In the third chapter “The Impact of Price Limits on Stock Volatility and Price Delay: Evidence from China”, I focus on the Chinese stock market and study how market interventions affect price behaviors. To overcome challenge in identification, I first match firms by characteristics and use difference-in-difference methodology to establish causality. Exploring a Special Treatment policy in China, I show that 5-basis-point tightening in daily price limits (from ±10% to ±5%) significantly reduces annualized volatility by 6.5 basis points (t =5.00) yet increases price delay by 63% from the previous year (t =7.40). Trading activity and liquidity significantly decrease under new limits but return increases by an equal-weighted average of 27% (t = 3.22) in 12 months. Evidence suggests that in the long-run price limits are effective in reducing volatility and improving firm value yet causing delayed price discovery and lower liquidity.

Download or read book Essays on the Persistence and Stability of Stock Market Calendar Anomalies written by Joseph Ikemefuna Onochie and published by . This book was released on 1993 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Two Essays on Asset Pricing Anomalies written by Che Kuan Chen and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates the impact of mutual funds in the cross-sectional stock returns and examines a conflict in the existing literature that characterizes momentum. In the first essay, I examine the explanatory power of aggregate mutual fund flows for the profitability of price-based (i.e., momentum and 52-week high) and non-price-based (i.e., earnings surprises, profitability, share issuance, accrual and asset growth) anomalies in the cross-section of returns. I find that the flow-based trading of mutual funds contributes to mispricing as measured by the profits to price-based anomalies, especially at times when market-wide funding costs are high. The effect also exists for non-price-based anomalies, but only through the dependence of their profits on momentum. My findings support the view of Lou (2012) and Vayanos and Woolley (2013) that mutual funds’ trading on flows creates feedback that strengthens price-based anomalies, as high-performing funds buy additional shares of high-performing stocks and poorly performing funds sell shares of poorly performing stocks. However, the explanatory power of aggregate mutual fund flows for price-based anomaly returns is only partly attenuated by fund-level variables designed to capture the feedback effect. The flow-induced trading by mutual funds appears to contribute to mispricing for reasons beyond the feedback effect. The second essay examines the extent to which momentum profits depend on the state of credit markets. The state of credit markets does affect momentum, but the results are not consistent with a credit channel effect on momentum. For non-financial firms, the momentum profits are stronger among portfolios formed under favorable credit conditions. For financial firms, credit conditions do not matter to the momentum profits. Price continuations in financial firms are related to whether the firms are performing poorly, but not whether that performance is attributable to credit conditions that are favorable or poor.

Download or read book Essays in Financial Economics written by Joon Chae and published by . This book was released on 2003 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: (Cont.) Second, autocorrelations of stock market returns are not zero as verified by many predictability studies. The magnitude of autocorrelations varies considerably from one period to another. In addition, we analyze several stock market anomalies, such as January effect, turn-of-the-month effect, turn-of-the-quarter effect, and weekday effect. Interestingly, most effects are still significant after many years of their discoveries.

Download or read book Essays on Financial Anomalies written by Ming Gu and published by . This book was released on 2012 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies two pervasive financial anomalies: price momentum and accrual anomaly. The first essay establishes a robust link between momentum and accruals (the difference between accounting earnings and cash flow). I find that momentum profitability is statistically significant and economically large only among firms with high accruals. The cross-sectional characteristics of momentum previously documented do not subsume the effect of accruals on momentum profits, and the effect also holds in different market states. To understand the source of momentum, I analyze the predictive power of accruals for stock returns based on two hypotheses: earnings manipulation and earnings overestimation. I find that loser stocks with high accruals experience significant decreases in industry-adjusted sales growth and the largest amount of income-decreasing special items in subsequent years. Most of momentum profitability among high-accrual firms is attributable to the high discretionary accrual group. My findings indicate that, primarily due to the effect of earnings manipulation, the downward payoff of loser stocks with high accruals largely drives the accrual-based momentum profit. The second essay investigates the relationship between financial distress and accrual anomaly. I investigate whether the continued existence of the accrual anomaly is due to the failure to account for the compensation for distress risk. I find a U-shape pattern of distress risks across accrual portfolios. The accrual profit is mostly concentrated in firms with high distress, suggesting that the abnormal returns to the accrual trading strategy may result from the high distress-risk exposures. Market frictions such as idiosyncratic stock return volatility, illiquidity, and short-sale constraints do not generate the accrual anomaly, but they prevent stock prices from adjusting once financial distress triggers the abnormal returns to the accrual trading strategy.