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Do Market Anomalies Add Up?

This is a study about abnormal characteristics in the stock market and how to successfully use them in personal portfolios. Market anomalies are unexpected excess returns that occur in relation to certain variables. Five commonly known market anomalies (market cap, price-earnings ratio, price-book value, momentum, volatility) are tested to give evidence for their presence. Existing variables are then combined in different portfolios in order to observe whether they generate greater excess returns combined rather than individually. This study will also reveal whether long-term holding is possible and how the anomalies react in bullish and bearish markets.

Identiferoai:union.ndltd.org:ETSU/oai:dc.etsu.edu:honors-1200
Date01 May 2014
CreatorsSteinfeldt, Larissa C
PublisherDigital Commons @ East Tennessee State University
Source SetsEast Tennessee State University
Detected LanguageEnglish
Typetext
Formatapplication/pdf
SourceUndergraduate Honors Theses
RightsCopyright by the authors., http://creativecommons.org/licenses/by-nc-nd/3.0/

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