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Results tagged with anomalies
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user 16472
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.
3
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Accepted
Why do stocks with high sensitivities to innovations in volatility have low average returns?
The CIV factor helps to explain a number of asset pricing anomalies. We provide new evidence linking the CIV factor to income risk faced by households. …
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5
votes
Accepted
Beta anomaly (t statistics)
Yes. That is pretty easy. You have the returns for the high portfolio and for and low portfolio. You subtract one from the other and you have a time-series of returns for the High-Low portfolio. Then …
- 8,621
3
votes
Accepted
Value measures other than P/B
I think a very good paper that summarizes the empirical evidence on other measures of value is the Lettau and Wachter (2007). Take a look at their tables 1, 2 and 3 for the most standard uses of value …
- 8,621