Stock Market Anomalies
Stock Market Anomalies
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股市异常
DOI：
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发表时间：
2015
期刊：
影响因子：
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通讯作者：
C. Eu
中科院分区：
文献类型：
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作者：
Marcus Schulmerich;Yves;C. Eu
本章总结了最重要的股票市场异常，即，周末效应、1月效应、月初和节假日效应、标准普尔500指数效应、内部人交易、行业组合动量、本土偏好、价值线之谜和IPO锁定期到期。这些异常现象不能用传统的金融理论来解释，而且由于它们表现出持续性，因此不构成套利机会。描述每种异常，提供证据，并在可用时提供解释。
This chapter provides a summary of the most important stock market anomalies, i.e., the weekend effect, the January effect, the turn-of-the-month and holiday effect, the S&P 500 effect, trading by insiders, the momentum of industry portfolio, home bias, the Value Line enigma and the expiry of IPO lockups. These anomalies cannot be explained by traditional finance theory and, since they show persistency, do not constitute arbitrage opportunities. Each anomaly is described, evidence is supplied and explanations are provided when available.