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Investing in Stock Market Anomalies

SSRN Electronic Journal
2011
  • 1
    Citations
  • 13,942
    Usage
  • 26
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    1
    • Citation Indexes
      1
  • Usage
    13,942
  • Captures
    26
    • Readers
      23
    • Exports-Saves
      3
      • SSRN
        3
  • Ratings
    • Download Rank
      112,869

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.

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