Siganos, A. (2012) Can retail investors exploit stock market anomalies? Applied Financial Economics, 22(7), pp. 537-547. (doi: 10.1080/09603107.2011.619493)
Full text not currently available from Enlighten.
Abstract
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 |
---|---|
Status: | Published |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Siganos, Professor Antonios |
Authors: | Siganos, A. |
College/School: | College of Social Sciences > Adam Smith Business School > Accounting and Finance |
Journal Name: | Applied Financial Economics |
ISSN: | 0960-3107 |
ISSN (Online): | 1466-4305 |
Published Online: | 02 December 2011 |
University Staff: Request a correction | Enlighten Editors: Update this record