منابع مشابه
Market Anomalies on Return
There are various anomalies in the financial markets such as profitability, financial distress, lottery, volatility, and growth options, which origin and nature are unclear, ambiguous and apparently unrelated. In this study, we investigate the seemingly unrelated anomalies using the third and fourth moments of return’s distribution function and by isolating the expected skewness effect attribut...
متن کاملDoes Market Experience Eliminate Market Anomalies?
This study examines individual behavior in two well-functioning marketplaces to investigate whether market experience eliminates the endowment effect. Field evidence from both markets suggests that individual behavior converges to the neoclassical prediction as market experience increases. In an experimental test of whether these observations are due to treatment (market experience) or selectio...
متن کاملDoes Diversification Explain Market Anomalies ?
Empirical evidence suggests that stockholders do not diversify their portfolios to any significant level, and they are compensated for bearing idiosyncratic risk. In this paper, we breakdown the abnormal returns of size, value, long-term-reversal, momentum, and short-term contrarian premiums into diversification and net selectivity components to find that the anomalies in the U.S. and the inter...
متن کاملInstitutional Investment across Market Anomalies
If a small firm effect exists, one would expect to see a trend towards proportionately greater investment in small firms. Among the most sensitive investors would be institutional investors who are constantly seeking to maximize their portfolio's rankings. This study examines changes in institutional investments on the basis of firm size, price/earnings ratios and Timeliness rankings. Instituti...
متن کاملAnomalies and Market (Dis)Integration∗
Any rational pricing phenomenon in the cross section of equity returns must also show up in the corresponding corporate bond returns. We use this powerful insight to investigate whether the equity and corporate bond markets are integrated with respect to risk premia associated with anomalies. We find that the two markets are not integrated through factors suggested by structural credit risk mod...
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ژورنال
عنوان ژورنال: Journal of Applied Business Research (JABR)
سال: 2011
ISSN: 2157-8834,0892-7626
DOI: 10.19030/jabr.v13i4.5740