Questions tagged [anomalies]
A market anomaly (or market inefficiency) is a price and/or rate of return distortion on a financial market that seems to contradict the efficient-market hypothesis, as conceived by Fama (1970) in his seminal paper.
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Any bench marks for anomaly detection of intraday or other time intervals for stock prices?
Is anybody aware of any benchmarks for general anomaly detection of intraday or (other time intervals) for stock prices? I suspect that it is difficult to get agreement on what constitutes an anomaly ...
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111 views
Calculate and study volatility time series
I am trying to study a time series. I have 10-year daily close prices for some stocks, so my time series is very simple: each day I have a close price for my company. The question is: how can I want ...
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CAPM: Testing for alphas jointly equal to zero
For my project, I need to assess if a certain factor X leads to a CAPM-Anomaly. First, I sorted the monthly stock return (sample size: 500+ observations) according to the X factor in 10 decile ...
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2answers
181 views
Asset Pricing and inferences - Intercept and relationship to returns
Ideally this question is very similar to What's the meaning of the intercept in asset pricing model?
I am regressing a "buys minus sells" portfolio returns to the Carhart factors.
The intercept ...
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0answers
243 views
Are BARRA's Multiple-Factor Risk models rational asset pricing models?
Barra's Multiple-Factor Models for risk (e.g. USE3, USE4, CNE5) are much like those models used in empirical asset pricing studies such as CAPM, Fama-French three-factor model and others.
I'm not ...
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2answers
156 views
Why do stocks with high sensitivities to innovations in volatility have low average returns?
Ang, Xing and Zhang (2006) state that "stocks with high sensitivities to innovations in aggregate volatility have low average returns". I am familiar that this question has been asked before in ...
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0answers
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Conceptual help - Machine Learning on finance data set [closed]
I am working on Anomaly detection model problem for a finance data set - set of gift card activation transactions. My team member suggested an idea that " First train the model with normal instances ...
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1answer
155 views
Insoluble Enigma [closed]
I used many statistical tools, i.e. t-SNE, SVM, Neural Network, UMAP, PCA, with the reformatted full market depth data with timestamp each second. UMAP gave me the best data representation, but ...
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Trading rules: Controlling the portfolio FDR+ level
I'm trying to apply the FDR+ (False Discovery Rate +) methodology from Bajgrowicz (2011) link another_link. I have computed the p-values with the stationary bootstrap as they did, however I am not ...
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1answer
219 views
Are the causes of momentum uniform for various asset classes?
Is there any theory which is able to unify and/or falsify existing explanations on the causes of asset price/return momentum? The prevailing theory is that behavioral and cognitive biases lead to ...
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2answers
255 views
Have any other factor "styles" which explain equity returns been uncovered?
I know this is an inherently broad question, so I will attempt to clarify what I mean by factor "styles". I am not looking for a compendium of "anomalies", per se, but rather for categorical themes ...
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1answer
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Possible correlations to institutional allocations versus market capitalization
I seem to remember someone telling me a while back that a good indicator of future equity performance was how "institutionally under-owned" a given equity is versus its weight in a given broad market ...
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4answers
474 views
Why do anomalies disappear after they get detected?
In financial markets, anomalies refer to situations when a security or group of securities performs contrary to the notion of efficient markets, where security prices are said to reflect all available ...
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1answer
1k views
Daily value weighted return and equally weighted size adjusted
For an event study, can anyone explain me the daily value weighted return for a benchmark and the equally weighted return size adjusted for measuring the EARs and how to calculate both weights?
...
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1answer
218 views
Practical way to estimate price sensitivity to unexpected earnings (i.e., post-earnings drift)?
Post-earnings announcement drift is a well documented anomaly in financial research. In 2017 May NBER paper, Replicating Anomalies, the authors found that anomalies related to standardized unexpected ...
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1answer
97 views
Value measures other than P/B
Price-to-book is a very well-studied value measure. What research is there on non-P/B value measures?
I came across a handful used by AQR (Sales/EV, Cash flow/EV, E/P, Forecasted Earnings/Price) but ...
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1answer
73 views
Testing day of the week effect
I am currently reading a bit about testing day of the weeks effects. I saw two different model specifications and wonder how to interpret the results.
The first model type includes only 4 dummies for ...
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2answers
1k views
What are the main market anomalies/inefficiencies detected in quantitative finance?
I wondered about the existence of a complete list of the anomalies detected in quantitative finance.
Generally, a market anomaly or inefficiency is a asset price and/or rate of return distortion on a ...
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2answers
1k views
Distinction between "risk factor" and "market anomaly"
What are some of the general rules to decide whether a particular factor is a "risk factor" or "anomaly?" Naively speaking, can't you put any anomaly factor on the right-hand-side of the regression ...
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1answer
523 views
What are the empirical limitations to testing market efficiency?
I have encountered a rather elegant argument about the limitations of empirically testing for market efficiency, involving the central point that we do not know whether a result is due to the "true ...
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1answer
95 views
An Alphabet Effect?
While I prepared some quick and lazy charts picking just the first 10 symbols out of the SP500 for this other question I observed, that the first 10 symbols (figure 1) actually outperformed the larger ...
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2answers
699 views
When gains are made: Overnight or during trading hours? What is the connection to volatility?
Falkenblog reports an interesting finding: All of the stock returns since 1993 are from overnight returns and cross-sectionally, volatility receives a positive overnight risk premium, a negative ...
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0answers
115 views
Individual/casual investors and the bias towards blue-chip stocks?
There's quite a bit of research (example, [1]) teasing out the fact that home/casual/individual investors prefer stocks with large positive skewness. It surprised me, as I was reading a bunch of these ...
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1answer
507 views
Is Arithmetic Return Bias Basis of Low Vol Anomaly?
An observation in capital markets is that the connection between return and risk (measured as volatility) is not that straightforward (at least not as modern portfolio theory assumes). One interesting ...
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1answer
227 views
what are the most common explanations of the January effect?
The "january effect" is one of the most widely recognized market anomalies. In a nutshell, it refers to the empirical observation that January appears to have systematically higher returns than other ...
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7answers
3k views
Why do some anomalies persist while others fade away?
In their 1990 book, A Non-Random Walk Down Wall Street, Andrew Lo and Craig MacKinlay document a number of persistent predictable patterns in stock prices. One of these "anomalies" is variously known ...
