Can retail investors exploit stock market anomalies?

Siganos, A. (2012) Can retail investors exploit stock market anomalies? Applied Financial Economics, 22(7), pp. 537-547. (doi:10.1080/09603107.2011.619493)

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This article investigates the extent to which small investors can exploit a range of stock market anomalies. The study uses a small number of companies to define both long and short portfolios, and investigates the post-cost profitability of the following strategies: earnings/price, return/assets, price, asset growth, size, dividend/price and overreaction. Transaction cost is estimated when buying underlying shares and when selling short shares with Contracts For Difference (CFDs). Findings show that only the earnings/price strategy can enjoy net gains for small investors showing some evidence against stock market efficiency.

Item Type:Articles
Glasgow Author(s) Enlighten ID:Siganos, Dr Antonios
Authors: Siganos, A.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Applied Financial Economics
ISSN (Online):1466-4305
Published Online:02 December 2011

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