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Ozkan Haykir
Pág. 148 - 153
In this paper, I investigate a recent asset pricing anomaly proposed by Bali et al. (2011) in the Turkish stock markets during the period between January 2011 and December 2017 using univariate and bivariate sorting methodologies. Bali et al. (2011) sugg...
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TITIN HARTINI, AMRI AMIR, JUNAIDI JUNAIDI, TONA AURORA LUBIS
Pág. 88 - 93
This study aims to determine the difference between abnormal return and trade volume activity before and after Effects on Food And Beverages Companies Listed in Indonesian Sharia Stock Index (ISSI) in 2012 until 2017. In this study, samples were taken as...
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Muhammad Iqbal,Buddi Wibowo
Pág. 335 - 348
Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequ...
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Pág. 29 - 45
Ali et al. (2003) argue that the Book-to-Market (B/M) anomaly is explained by mispricing. Using firm-level data from 1976 through 1997, we replicate their results and then test the idea that the anomaly is also explained as reflecting compensation ...
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Xu Guo, Xuejun Jiang and Wing-Keung Wong
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Bayram Veli Salur and Cumhur Ekinci
We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ra...
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Loc Dong Truong,H. Swint Friday
Pág. 28 - 34
This analysis investigates the influence of the timing of the Lunar New Year on the January effect for the Vietnam stock market. The data selected for this study is a weekly series of the market index (VN-Index) over the period from January 7th, 2009 thr...
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Olfa Chaouachi,Imen Dhaou
Pág. 94 - 98
The objective of our investigation is to test empirically the existence of the day of the week effect on the Canadian stock market between September 2009 and August 2019. Our findings show that the day of the week effect is present. The highest and lowes...
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Stéphane Crépey, Noureddine Lehdili, Nisrine Madhar and Maud Thomas
A major concern when dealing with financial time series involving a wide variety of market risk factors is the presence of anomalies. These induce a miscalibration of the models used to quantify and manage risk, resulting in potential erroneous risk meas...
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Peter Arendas and Jana Kotlebova
The Turn of the month effect is one of the better-known calendar anomalies. If a stock market is affected by the Turn of the month effect, it records significantly higher returns during a relatively short time period around the end of the old month and t...
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Alexandre Schwinden Garcia,André Alves Portela Santos
Pág. 81 - 122
This article estimates for the Brazilian market the multifactor pricing model proposed by Fama and French (2015, 2016) and provides a detail of five anomalies: beta, net share issues, momentum, volatility and accruals. The results indicate that the inclu...
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Supramono Supramono,Widhiastuti Wilis,I. Utami
Pág. 183 - 188
This event study investigates the Indonesian capital market reaction to the announcement of cabinet reshuffle as a major political event in Indonesia. We also detect the possibility of size effect anomaly related to this political event. Consequently, we...
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Chin-Sheng Huang,Chun-Fan You,Hueh-Chen Lin
Pág. 382 - 399
Utilizing the data from the Shanghai and Shenzhen exchanges between the periods of 2005 to 2011, this paper explores whether trading strategies based on dividend-yield are effective in the Chinese stock market. Under market risk-adjusted, we find an abno...
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Jieting Chen and Yuichiro Kawaguchi
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a per...
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Peter Arendas, Viera Malacka and Maria Schwarzova
The Halloween effect is one of the most famous calendar anomalies. It is based on the observation that stock returns tend to perform much better over the winter half of the year (November?April) than over the summer half of the year (May?October). The va...
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Prakash Pinto, Shakila Bolar, Iqbal Thonse Hawaldar, Aleyamma George and Abdelrhman Meero
One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects...
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Loc Dong Truong and H. Swint Friday
This study investigated the impact of the introduction of the VN30-Index futures contract on the daily returns anomaly for the Ho Chi Minh Stock Exchange (HOSE). Daily returns of the VN30-Index for the period 6 February 2012 through 31 December 2019 are ...
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Mohammed Fawzi Alhaija
Pág. 74 - 81
The purpose of this paper is to examine the influence of information disclosure such as changing the auditor on evaluating the inspected company in the capital market. This article covers cases where the auditor changes during the period without going th...
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Fernando Caio Galdi,Vinícius Souto-Maior Lima
Pág. 551 - 577
This paper investigates whether stock picking considering post-earnings announcement drift (PEAD) together with financial statement analysis improve portfolio returns in the Brazilian market. The strategy implemented explores the PEAD anomaly (using SUE ...
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Waqas Haider, Gideon Creech, Yi Xie and Jiankun Hu
The Windows Operating System (OS) is the most popular desktop OS in the world, as it has the majority market share of both servers and personal computing necessities. However, as its default signature-based security measures are ineffectual for detecting...
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