Stock Market Anomalies

2017 ◽  
Author(s):  
Steve Fan ◽  
Linda Yu
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Financial Economic ◽  
Economic Research ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Additional Risk ◽  
Asset Pricing Models ◽  
Stock Market Anomalies

Stock market anomalies representing the predictability of cross-sectional stock returns are one of most controversial topics in financial economic research. This chapter reviews several well-documented and pervasive anomalies in the literature, including investment-related anomalies, value anomalies, momentum and long-term reversal, size, and accruals. Although anomalies are widely accepted, much disagreement exists on the underlying reasons for their predictability. This chapter surveys two competing theories that attempt to explain the presence of stock market anomalies: rational and behavioral. The rational explanation focuses on the improvement of the existing asset pricing models and/or searching for additional risk factors to explain the existence of anomalies. By contrast, the behavioral explanation attributes the predictability to human behavioral biases in collecting and processing financial information, as well as in making investment decisions.

scholarly journals Mood Sensitive Stocks and Sustainable Cross-Sectional Returns During the COVID-19 Pandemic: An Analysis of Day of the Week Effect in the Chinese A-Share Market

2021 ◽  
Vol 12 ◽  
Author(s):  
Qurat ul Ain ◽  
Tamoor Azam ◽  
Tahir Yousaf ◽  
Muhammad Zeeshan Zafar ◽  
Yasmeen Akhtar
Keyword(s):  
Stock Returns ◽  
Investor Sentiment ◽  
Excess Returns ◽  
Chinese Market ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Day Of The Week ◽  
Stock Market Anomalies ◽  
New Evidence ◽  
A Share

This study examines two stock market anomalies and provides strong evidence of the day-of-the-week effect in the Chinese A-share market during the COVID-19 pandemic. Specifically, we examined the Quality minus Junk (QMJ) strategy return on Monday and FridayQuality stocks mean portfolio deciles that earn higher excess returns. As historical evidences suggest that less distressed/safe stocks earn higher excess returns (Dichev, 1998).. The QMJ factor is similar to the division of speculative and non-speculative stocks described by Birru (2018). Our findings provide evidence that the QMJ strategy gains negative returns on Fridays for both anomalies because the junk side is sensitive to an elevated mood and, thus, performs better than the quality side of portfolios on Friday. Our findings are also consistent with the theory of investor sentiment which asserts that investors are more optimistic when their mood is elevated, and generally individual mood is better on Friday than on other days of the week. Therefore, the speculative stocks earned higher sustainable stock returns during higher volatility in Chinese market due to COVID-19. Intrinsically, new evidence emerges on an inclined strategy to invest in speculative stocks on Fridays during the COVID-19 pandemic to gain sustainable excess returns in the Chinese A-share market.

Stock market anomalies in ASEAN+6 countries

2021 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Surachai Chancharat ◽  
Nuttida Thongrak ◽  
Suthasinee Suwannapak
Keyword(s):  
Stock Market ◽  
Market Anomalies ◽  
Stock Market Anomalies

Weather, investor psychology and stock returns: evidence from Fiji's stock market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Janesh Sami
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Sunshine Duration ◽  
Market Returns ◽  
Modeling Framework ◽  
Stock Market Returns ◽  
Content Type ◽  
Asset Pricing Models ◽  
Weather Changes ◽  
Practical Implications

PurposeThis paper investigates whether weather affects stock market returns in Fiji's stock market.Design/methodology/approachThe author employed an exponential general autoregressive conditional heteroskedastic (EGARCH) modeling framework to examine the effect of weather changes on stock market returns over the sample period 9/02/2000–31/12/2020.FindingsThe results show that weather (temperature, rain, humidity and sunshine duration) have robust but heterogenous effects on stock market returns in Fiji.Research limitations/implicationsIt is useful for scholars to modify asset pricing models to include weather-related variables (temperature, rain, humidity and sunshine duration) to better understand Fiji's stock market dynamics (even though they are often viewed as economically neutral variables).Practical implicationsInvestors and traders should consider their mood while making stock market decisions to lessen mood-induced errors.Originality/valueThis is the first attempt to examine the effect of weather (temperature, rain, humidity and sunshine duration) on stock market returns in Fiji's stock market.

Sticky Expectations and Stock Market Anomalies

2016 ◽  
Author(s):  
Jean-Philippe Bouchaud ◽  
Philipp Krueger ◽  
Augustin Landier ◽  
David Thesmar
Keyword(s):  
Stock Market ◽  
Market Anomalies ◽  
Stock Market Anomalies
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