Can retail investors exploit stock market anomalies?

Antonios Siganos

Applied Financial Economics, 2012, vol. 22, issue 7, 537-547

Abstract: This article investigates the extent to which small investors can exploit a range of stock market anomalies. The study uses a small number of companies to define both long and short portfolios, and investigates the post-cost profitability of the following strategies: earnings/price, return/assets, price, asset growth, size, dividend/price and overreaction. Transaction cost is estimated when buying underlying shares and when selling short shares with Contracts For Difference (CFDs). Findings show that only the earnings/price strategy can enjoy net gains for small investors showing some evidence against stock market efficiency.

Date: 2012
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DOI: 10.1080/09603107.2011.619493

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