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Bayram Veli Salur and Cumhur Ekinci
We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ra...
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Adrian-Gabriel Enescu
Pág. 1 - 12
I examine the existence of calendar anomalies, such as the day-of-the-week effect and January effect, on the Romanian stock market. The day-of-the-week effect was analyzed for the sample period 2002-2022 and three subperiods using a dummy regression. The...
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Peizhi Zhao and Yuyan Wang
Economic policy uncertainty has been identified as a new macroeconomic risk factor that harms the stock market?s profitability. This paper examines the impact of the Chinese EPU levels on one of the most famous financial anomalies?momentum returns. A new...
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Prakash Pinto, Shakila Bolar, Iqbal Thonse Hawaldar, Aleyamma George and Abdelrhman Meero
One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects...
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Morotola Pholohane, Oluseye Ajuwon, Nicolene Wesson
Pág. 59 - 93
This study explored the price reactions of shares moving in and out of Johannesburg Stock Exchange (JSE) Top 40 Index by applying three models to calculate the abnormal returns of the stocks; namely: the market model, the Capital Asset Pricing Model (CAP...
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Peter Arendas and Jana Kotlebova
The Turn of the month effect is one of the better-known calendar anomalies. If a stock market is affected by the Turn of the month effect, it records significantly higher returns during a relatively short time period around the end of the old month and t...
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Alexandre Schwinden Garcia,André Alves Portela Santos
Pág. 81 - 122
This article estimates for the Brazilian market the multifactor pricing model proposed by Fama and French (2015, 2016) and provides a detail of five anomalies: beta, net share issues, momentum, volatility and accruals. The results indicate that the inclu...
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Muhammad Iqbal,Buddi Wibowo
Pág. 335 - 348
Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequ...
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Melody Nyangara,Davis Nyangara,Godfrey Ndlovu,Takawira Tyavambiza
Pág. 365 - 379
We test the empirical validity of the Capital Asset Pricing Model (CAPM) on the Zimbabwe Stock Exchange (ZSE) using cross-sectional stock returns on 31 stocks listed on the ZSE between March 2009 and February 2014. We conclude that, although the explanat...
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Shuang Feng, Jon Stewart
Pág. 18 - 28
The Chinese stock market is an emerging market that has gained much importance over the past few decades. Because of this, it also serves as a great subject for studying market inefficiencies and anomalies. In this paper we provide a review of evidence r...
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