Detail Adaptive Market Efficiency: Review of Recent Empirical SIBR Bangkok Conference Paper Evidence on the Persistence of Stock Market Anomalies   Oleh:  Meier, Christoph Jenis: Article from Proceeding Dalam koleksi: SIBR-Thammasat 2014 Conference on Interdisciplinary Business & Economics Research June 5th- 7th, 2014 di Emerald Hotel Bangkok, page 1-19. Fulltext: b14-136.pdf (82.5KB) Isi artikel The field of Finance has undergone an interesting transformation. In the 1970s, Eugene Fama developed conceptual stages of market efficiency (Fama, 1970), that all information is generally incorporated in stock prices. Robert Shiller shows that stock prices are too volatile to be explained by new information alone (Shiller, 1981). The 1980s and 1990s yield a variety of anomalies, which are systematically predictable security price patterns that are exploitable through investment strategies. This paper discusses some of the most popular anomalies:The day-of-the-week effect(French, 1980; Haugan and Lakonishok, 1988; andReinganum, 1983), the January effect (Roll, 1983), the value effect(Basu, 1977; Stattman, 1980; and Rosenberg, Reid, and Lanstein, 1985), the size effect(Fama and MacBeth, 1973;Banz, 1981; andHawawini and Keim, 1995), and the momentum effect (Jegadeesh and Titman, 1993). Daniel and Titman (1999) and later Lo (2004) suggest that investors behave in line with the adaptive-efficient market hypothesis that once inefficiency is detected and investors are aware of profitable trading opportunities, anomalies should disappear and subsequently, prices return to their efficient values. This paper summarizes the aforementioned anomalies, and discusses recent empirical research thereof. Some anomalies (day-of-the-week, January, and size effect) seem to disappear over time, whereas others (value and momentum effects) do not. In this context, the role of adaptive efficiency and transaction cost are discussed. This paper aims to help graduate students and interested readers to gain a better understanding of stock market efficiency and anomalies over time. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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