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 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 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 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 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 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 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 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 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 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 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 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.

Download or read book Two Essays in Banking and Finance written by Yuna Heo and published by . This book was released on 2015 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes two essays. The first essay investigates whether money illusion misleads investors in the stock market. To the extent that anomalies reflect mispricing, I examine whether money illusion plays a role in the anomaly-based strategies. I find that, following high inflation, anomalies are stronger and the returns on the short-leg portfolios are lower. These findings indicate investors are overly optimistic on the past performance of stocks and overestimate the upside potential of stock returns following high inflation periods. I extend the effect of money illusion by examining sentiment and other commonly used measure for predicting stock returns. I find that money illusion-driven mispricing remains largely unchanged after controlling for many additional variables. These results suggest that money illusion provides a complementary power for cross-sectional stock returns beyond commonly used variables. In summary, this essay contributes to the literatures on money illusion and mispricing by providing evidence that money illusion can lead to mispricing in the stock market. The second essay identifies a new risk factor for bank stock returns. First, I document that standard factor models do not explain bank stock returns well. I investigate the linkage between Loan Loss Provision (LLP) and bank stock returns. I find that low-LLP bank stocks have significantly higher risk-adjusted returns than medium- and high-LLP bank stocks. These findings indicates that low-LLP banks are more likely distressed when economic conditions are bad, as a result, investors require higher returns on low-LLP bank stocks. Most importantly, the new factor model including the LLP return factor adds a new dimension of explanatory power for bank stock returns, reducing the magnitude of alphas mostly to insignificance. Combined with its economic intuition, this essay suggests that loan loss provisions play an important role in evaluating bank stock returns.

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 Artificial Stock Market Methods written by Yiping Xu and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation proposes a two-risky-asset Artificial Stock Market Model and investigates its applications in financial markets. In the first essay, this model is applied to the stock market. Simulation results show that within some range of the parameters, the model can replicate many stylized facts of real financial data and some financial anomalies. This essay also finds that the dynamics of the model and the simulated results can be explained well by two approximation equations: the bubble pricing equation and the mean difference equation of the market share. The second essay applies the noise trader version of this model to the foreign exchange market and aims at solving the equilibria selection dilemma in the context of Kareken and Wallace (1981). The simulation results show that if agents have full memory, the average portfolio fraction will converge and the initial equilibrium that it converges to is history dependent. However under the lasting evolutionary pressure brought by the noise trader, the asymptotical outcome will be history independent. The model will converge to the neighborhood of an equilibrium with agents equally putting their savings into two currencies. If the agents do not have full memory, the foreign exchange market will show periodic crises. Before and after a market crisis, the exchange rate will converge to different stationary equilibria. A mean difference equation of the average portfolio fraction is also given to describe the dynamics of the model. The third essay aims at revealing the role played by the self-referential process inside the artificial stock models, and studying how it is related to the model performance. Three potential dangers that can make a GA learning model degenerate to a pure numerical optimization process are identified. It is also found that although the strength of the self-referential process may not change the convergence property of a GA model, it may lead to substantial differences in the model dynamics before the convergence is achieved.

Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.