Investing in Stock Market Anomalies
SSRN Electronic Journal
2011
- 1Citations
- 13,942Usage
- 26Captures
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Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Article Description
This paper provides an explanation of investing in stock market anomalies in an expected utility paradigm. Classical selection rules fail to provide a preference for high expected return portfolios. The paper utilizes the almost dominance rules to examine the practice of investing in size, book-to-market, momentum, short-term and long-term reversal anomalies. The results indicate that popular investment choices such as value and small stocks do not dominate growth and big stocks. However, the short-term reversal and momentum strategies create efficient investment alternatives. Bilateral comparisons of stock market anomalies provide evidence for the superior performance of size, short-term reversal, and momentum for 1-month to 12-month horizon and book-to-market and long-term reversal for longer term horizons of 3 to 5 years. The relative strength of small, value, momentum-winner, short-term and long-term losers becomes more prevalent when the time-varying conditional distributions are examined.
Bibliographic Details
http://www.ssrn.com/abstract=1806137; http://dx.doi.org/10.2139/ssrn.1806137; http://www.ssrn.com/abstract=1785530; http://dx.doi.org/10.2139/ssrn.1785530; https://dx.doi.org/10.2139/ssrn.1785530; https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1806137; https://dx.doi.org/10.2139/ssrn.1806137; https://ssrn.com/abstract=1785530; https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1785530; https://ssrn.com/abstract=1806137
Elsevier BV
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