Abstract

http://ssrn.com/abstract=1806137
 
 

References (36)



 


 



Investing in Stock Market Anomalies


Turan G. Bali


Georgetown University - Robert Emmett McDonough School of Business

Stephen J. Brown


New York University - Stern School of Business

K. Ozgur Demirtas


CUNY Baruch College - Zicklin School of Business

April 9, 2011


Abstract:     
This paper provides an explanation of investing in stock market anomalies in an expected utility paradigm. Classical selection rules fail to provide a preference for high expected return portfolios. The paper utilizes the almost dominance rules to examine the practice of investing in size, book-to-market, momentum, short-term and long-term reversal anomalies. The results indicate that popular investment choices such as value and small stocks do not dominate growth and big stocks. However, the short-term reversal and momentum strategies create efficient investment alternatives. Bilateral comparisons of stock market anomalies provide evidence for the superior performance of size, short-term reversal, and momentum for 1-month to 12-month horizon and book-to-market and long-term reversal for longer term horizons of 3 to 5 years. The relative strength of small, value, momentum-winner, short-term and long-term losers becomes more prevalent when the time-varying conditional distributions are examined.

Number of Pages in PDF File: 52

Keywords: Stock Market Anomalies, Momentum, Reversal, Size, Value Premium

JEL Classification: G10, G11, G12

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Date posted: April 10, 2011  

Suggested Citation

Bali, Turan G. and Brown, Stephen J. and Demirtas, K. Ozgur, Investing in Stock Market Anomalies (April 9, 2011). Available at SSRN: http://ssrn.com/abstract=1806137 or http://dx.doi.org/10.2139/ssrn.1806137

Contact Information

Turan G. Bali (Contact Author)
Georgetown University - Robert Emmett McDonough School of Business ( email )
3700 O Street, NW
Washington, DC 20057
United States
(202) 687-5388 (Phone)
(202) 687-4031 (Fax)
HOME PAGE: http://faculty.msb.edu/tgb27/index.html

Stephen J. Brown
New York University - Stern School of Business ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0306 (Phone)
212-995-4233 (Fax)
K. Ozgur Demirtas
CUNY Baruch College - Zicklin School of Business ( email )
One Bernard Baruch Way, Box 10-225
Department of Finance
New York, NY 10010
United States
646-312-3484 (Phone)
646-312-3451 (Fax)
HOME PAGE: http://www.ozgur-demirtas.com
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