Are Stock-Market Anomalies Anomalous After All?

89 Pages Posted: 19 Feb 2021 Last revised: 21 Feb 2021

See all articles by George Chalamandaris

George Chalamandaris

Athens University of Economics and Business - Department of Accounting and Finance

Kuntara Pukthuanthong

University of Missouri, Columbia

Nikolas Topaloglou

Athens University of Economics and Business

Date Written: February 18, 2021

Abstract

We propose a stochastic spanning to evaluate whether anomalies are genuine under factor-model framework. Our approach is nonparametric and does not rely on any assumption of return distribution and investor risk preferences. It depends on the whole distribution of returns, rather than only on the first two moments. Of the anomalies we consider, only a few expand the opportunity set of the risk-averter and have real economic content. Our approach is consistent in identifying genuine anomalies in and out of samples. This is in contrast to mean-variance (MV) spanning tests where anomalies identified in-sample, not out-of-sample.

Keywords: Stochastic dominance, stochastic spanning, mean-variance spanning market anomalies.

JEL Classification: G1, G10, G11, G12

Suggested Citation

Chalamandaris, George and Pukthuanthong, Kuntara and Topaloglou, Nikolas, Are Stock-Market Anomalies Anomalous After All? (February 18, 2021). Available at SSRN: https://ssrn.com/abstract=3752177 or http://dx.doi.org/10.2139/ssrn.3752177

George Chalamandaris

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission Street
GR-104 34 Athens
Greece

Kuntara Pukthuanthong (Contact Author)

University of Missouri, Columbia ( email )

Robert J. Trulaske, Sr. College of Business
403 Cornell Hall
Columbia, MO 65211
United States
6198076124 (Phone)

HOME PAGE: http://https://kuntara.weebly.com

Nikolas Topaloglou

Athens University of Economics and Business ( email )

76, Patision street
Athens, GR10434
Greece

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