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Results tagged with anomalies
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user 26547
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.
9
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1
answer
264
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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 mome …
- 3,025
4
votes
2
answers
326
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Have any other factor "styles" which explain equity returns been uncovered?
Non-trivial distinctions between "styles", "factors", and "anomalies":
There are many anomalies that have been identified with regards to equity price returns. … Again, the list of factor-based anomalies could go on ad nauseam, but that's not the intent of my question. …
- 3,025
0
votes
1
answer
28
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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 …
- 3,025
2
votes
1
answer
287
views
Practical way to estimate price sensitivity to unexpected earnings (i.e., post-earnings drift)?
In 2017 May NBER paper, Replicating Anomalies, the authors found that anomalies related to standardized unexpected earnings to be among the most robust quantitative factors. …
- 1,912