Stock Market Anomalies

Marcus Schulmerich, Yves-Michel Leporcher and Ching-Hwa Eu
Additional contact information
Marcus Schulmerich: State Street Global Advisors (SSgA)
Yves-Michel Leporcher: Crédit Agricole
Ching-Hwa Eu: Deutsche Bank

Chapter 3 in Applied Asset and Risk Management, 2015, pp 175-244 from Springer

Abstract: Abstract This chapter provides a summary of the most important stock market anomalies, i.e., the weekend effect, the January effect, the turn-of-the-month and holiday effect, the S&P 500 effect, trading by insiders, the momentum of industry portfolio, home bias, the Value Line enigma and the expiry of IPO lockups. These anomalies cannot be explained by traditional finance theory and, since they show persistency, do not constitute arbitrage opportunities. Each anomaly is described, evidence is supplied and explanations are provided when available.

Keywords: Abnormal Return; Mutual Fund; Initial Public Offering; Trading Cost; Real Estate Investment Trust (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:mgmchp:978-3-642-55444-5_3

Ordering information: This item can be ordered from
http://www.springer.com/9783642554445

DOI: 10.1007/978-3-642-55444-5_3

Access Statistics for this chapter

More chapters in Management for Professionals from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().