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)

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