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美国罗切斯特大学毕业论文:异常与市场效率:ANOMALIES AND MARKET EFFICIENCY

论文作者:留学生论文论文属性:硕士毕业论文 thesis登出时间:2010-12-24编辑:anterran点击率:18214

论文字数:14235论文编号:org201012241406235082语种:英语论文 English地区:美国价格:免费论文

附件:20101224140623536.pdf

关键词:market efficiencyanomalysize effectvalue effectselection biasmomentum

ANOMALIES AND MARKET EFFICIENCY
Abstract

Keywords 939
1. Introduction 940
2. Selected empirical regularities 941
2.1.写留学论文 Predictable differences in returns across assets 941
2.1.1. Data snooping 941
2.1.2. The size effect 942
2.1.3. The turn-of-the-year effect 943
2.1.4. The weekend effect 944
2.1.5. The value effect 945
2.1.6. The momentum effect 947
2.2. Predictable differences in returns through time 949
2.2.1. Short-term interest rates, expected inflation, and stock returns 950
2.2.2. Dividend yields and stock returns 952
3. Returns to different types of investors 954
3.1. Individual investors 954
3.1.1. Closed-end funds 955
3.2. Institutional investors 956
3.2.1. Mutual funds 956
3.2.2. Hedge funds 956
3.2.3. Returns to IPOs 957
3.3. Limits to arbitrage 959
4. Long-run returns 959
4.1. Returns to firms issuing equity 960
° The Bradley Policy Research Center, William E. Simon Graduate School of Business Administration,
University of Rochester, provided support for this research. I received helpful comments from Yakov
Amihud, Brad Barber, John Cochrane, Eugene Fama, Murray Frank, Ken French, David Hirshleifer,
Tim Loughran, Randall Mørck, Jeff Pontiff, Jay Ritter, Ren´e Stulz, A. Subrahmanyam, Sheridan Titman,Janice Willett and Jerold Zimmerman. The views expressed herein are those of the author and do notnecessarily reflect the views of the National Bureau of Economic Research.
Handbook of the Economics of Finance, Edited by G.M. Constantinides, M. Harris and R. Stulz
2003 Elsevier Science B.V. All rights reserved
938 G.W. Schwert
4.2. Returns to bidder firms 962
5. Implications for asset pricing 964
5.1. The search for risk factors 964
5.2. Conditional asset pricing 965
5.3. Excess volatility 965
5.4. The role of behavioral finance 965
6. Implications for corporate finance 966
6.1. Firm size and liquidity 966
6.2. Book-to-market effects 966
6.3. Slow reaction to corporate financial policy 967
7. Conclusions 968
References 968
Ch. 15: Anomalies and Market Efficiency 939
Abstract
Anomalies are empirical results that seem to be inconsistent with maintained theories
of asset-pricing behavior. They indicate either market inefficiency (profit opportunities)
or inadequacies in the underlying asset-pricing model. After they are documented and
analyzed in the academic literature, anomalies often seem to disappear, reverse, or
attenuate. This raises the question of whether profit opportunities existed in the past,but have since been arbitraged away, or whether the anomalies were simply statisticalaberrations that attracted the attention of academics and practitioners.One of the interesting findings from the empirical work in this chapter is that manyof the well-known anomalies in the finance literature do not hold up in different sample
periods. In particular, the size effect and the value effect seem to have disappeared afterthe papers that highlighted them were published. At about the same time, practitionersbegan investment vehicles that implemented the strategies implied by the academicpapers.The weekend effect and the dividend yield effect also seem to have lost their
predictive power after the papers that made them famous were published. In thesecases, however, I am not aware of any practitioners who have tried to use theseanomalies as a major basis of their 论文英语论文网提供整理,提供论文代写英语论文代写代写论文代写英语论文代写留学生论文代写英文论文留学生论文代写相关核心关键词搜索。

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