Why investors should be cautious of the academic approach to testing for stock market anomalies
Robert Hudson,
Kevin Keasey and
Kevin Littler
Applied Financial Economics, 2002, vol. 12, issue 9, 681-686
Abstract:
This paper uses the well known pre-holiday stock market anomaly to clarify the uses and limitations of the academic approach to testing for such anomalies with respect to the differing requirements of academics and investors. The approach is not designed to produce information suitable for making investment decisions but to inform academic debate. The results produced by the approach could lead to highly inappropriate trading if acted upon by investors. The paper illustrates the types of problem that can arise and offers some possible solutions.
Date: 2002
References: View complete reference list from CitEc
Citations: View citations in EconPapers (7)
Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/13504850210128848 (text/html)
Access to full text is restricted to subscribers.
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:taf:apfiec:v:12:y:2002:i:9:p:681-686
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20
DOI: 10.1080/13504850210128848
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().