Stock market anomalies

Part 1 book "Management for professionals - A guide to modern portfolio management and behavior driven markets" includes content: Risk Measures in asset management; modern portfolio theory and its problems; stock market anomalies.

260p oursky01 24-07-2023 9 5   Download

Part 1 of ebook "Advances in quantitative analysis of finance and accounting (Volume 6)" has presents the following content: collateral constraints, debt management, and investment incentives; a concave quadratic programming marketing strategy model with product life cycles; evaluating the robustness of market anomaly evidence; why is the value relevance of earnings lower for high-tech firms; thirty years of canadian evidence on stock splits, reverse stock splits, and stock dividends;...

133p dieptieuung 20-07-2023 3 1   Download

Continued part 1, part 2 of ebook "Behavioral interactions, markets, and economic dynamics: Topics in behavioral economics" provide readers with content about: bubbles and crash; price bubbles sans dividend anchors - evidence from laboratory stock markets; experimental markets; behavioral contract theory; market efficiency and anomalies; contracting with self-esteem concerns;...

326p damtuyetha 16-02-2023 3 1   Download

This paper examines the relationship between idiosyncratic momentum and future returns in the Vietnam stock market. This study utilizes the Vietnam Stock market from the DataStream database, containing listed and delisted stocks from July 2010 to June 2021.

5p visirius 11-01-2023 20 5   Download

This paper provides a closer look at the expectation formation process of individual analyst. Using a detailed analyst earnings forecasts dataset, we document the existence of stickiness and confirmatory bias in individual analyst expectations. When the latest signal about firm fundamentals is inconsistent with prior belief, analysts are subject to confirmation bias, and tend to be stickier to their previous earnings forecasts. Confirmation bias is more serve in the case of positive priors. Besides, we find significant economical evidences in the stock market.

18p nguyenanhtuan_qb 09-07-2020 28 1   Download

This paper analyzes the statistical and economic significance of the calendar anomalies to propose appropriate strategies or recommendations. Studying the calendar anomalies in Vietnam also diversifies the research scope and validates some hypotheses in the past.

6p kelseynguyen 26-05-2020 21 1   Download

The paper attempts to examine the causal association between the crude oil price anomalies and stock market returns in the Indian stock market. The study covers 9 years starting from 2009 to 2018, and the study includes ten companies in the oil drilling and exploration sectors listed in the BSE Sensex and CNX NIFTY indexes. We employed correlation tests in determining the relationships amongst the stock market return, crude oil price and market benchmarking indexes.

6p partimesinhvien 13-05-2020 24 2   Download

This paper investigates whether short-term over/underreaction appears in the Egyptian Exchange, over the period of January 1998 to December 2013, making this the first attempt to test this market anomaly in an Arab stock market.

12p cothumenhmong4 24-03-2020 9 1   Download

Using the most recent data sample, we documented that holiday effects persist in the Chinese security exchanges. Consistent with evidence from other countries, the pre-holiday effect appears to be positively related to firm size and liquidity. We find that this effect is significant with large cap indices but disappears in middle and small cap indices. We also find that the pre-holiday effect became stronger during the financial crisis. A search for possible reasons points primarily towards the illiquidity of smaller stocks and the preference for large cap stocks during the financial crisis.

10p trinhthamhodang2 21-01-2020 17 0   Download

This paper analyzes the predictability and profitability of the candlesticks strategy, which is the most basic type of technical analysis in China's stock market. By analyzing matched candlesticks samples most similar to the candlesticks of the current stocks in the past six months, we can buy the portfolios best in performance and sell the worst to obtain significant excess returns. The result keeps robust after risk adjustment.

25p chauchaungayxua2 19-01-2020 16 1   Download

This paper examines the relationship between unexpected earnings components (i.e., unexpected operating and non-operating income) and post-earningsannouncement drift to determine whether both components contribute to the mispricing phenomenon. I find that both operating and non-operating income surprises explain the market’s underweighting of earnings surprises. However, the contribution of operating income surprises is significantly higher than non-operating income surprises.

15p chauchaungayxua2 19-01-2020 19 4   Download

All quoted companies should seek to have a diverse range of investors on their share register. Typically, the majority will comprise a range of institutional investors who will invest according to a range of criteria, in the main dictated by the structure and requirements of the funds they manage. Institutions tend to be longer-term investors, whereas private investors, who will comprise the balance of the register, often have shorter-term aspirations.

85p bocapchetnguoi 06-12-2012 69 1   Download

The large loss effect that we report reinforces the findings of Kamstra, Kramer, and Levi (2000), who document a stock market effect of similar magnitude in response to the daylight saving clock change. While Pinegar (2002) argues that the “daylight saving anomaly” is sensitive to outliers, our effect remains economically and statistically significant even after removing outliers in the data and applying a number of robustness checks. Another contribution of this paper is that we are able to go a long way towards addressing the main disadvantage of the event approach.

56p bocapchetnguoi 05-12-2012 58 2   Download

Behavioral Finance, a study of investor market behavior that derives from psychological principles of decision making, to explain why people buy or sell the stocks they do. The linkage of behavioral cognitive psychology, which studies human decision making, and financial market economics. Behavioral Finance focuses upon how investors interpret and act on information to make informed investment decisions. Investors do not always behave in a rational, predictable and an unbiased manner indicated by the quantitative models.

29p dauxanhnguyenhuong 28-09-2011 83 11   Download