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Rozprawy doktorskie na temat „Cyclical stock market anomalies”

Autor: Grafiati

Data publikacji: 3 czerwca 2025

Data aktualizacji: 31 lipca 2025

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Yu, Lin. "Essays in stock market anomalies." Thesis, University of Nottingham, 2016. http://eprints.nottingham.ac.uk/36221/.

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This thesis compromises one literature review chapter and three essays which focus on the theme of valuation, value premium anomaly, R&D premium anomaly, momentum anomaly and emerging markets. The first essay is entitled “Does Low Book-to-market Predict Low Returns? The Other Side of Growth: Research and Development Investment”. In this essay, I develop a theoretical framework of the risk and return of R&D, and examine the relation between R&D and BM. This paper documents that the intersections of R&D and BM produce enhanced trading strategies, and that the four-factor model, with a R&D factor

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Wong, Chi-ching, and 黃智淸. "Market anomalies of the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1990. http://hub.hku.hk/bib/B31209488.

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Lam, Eric Campbell Full Yet. "Two essays on stock market anomalies /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?FINA%202009%20LAM.

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Posadas, Hernandez Victor Silverio. "Stock market anomalies the Latin American evidence /." Wiesbaden : Deutscher Universitäts-Verlag, 2006. http://site.ebrary.com/id/10231828.

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Thammaraks, Angsu-apa. "Stock market anomalies and return predictability on the stock exchange of Thailand." Thesis, University of Exeter, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312080.

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Huttunen, Sasu, and Govert Looije. "Cyclical consumption and the aggregate stock market: Evidence from the Nordic countries." Thesis, Jönköping University, IHH, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-52733.

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Researchers have dedicated considerable work to explaining components to excess stock market returns. Recently, Atanasov et al. (2020) managed to explain some of this variance in the US stock markets with a cyclical consumption variable. We have applied their model into the Nordic countries and compared it to a second model containing additional control variables. From the analysis, we find that cyclical consumption is able to explain excess stock market returns across five different h-quarter ahead excess returns. However, results are not consistent across countries. The extended model improv

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Zhang, Hong. "An empirical study on anomalies in China's stock market." Thesis, University of Greenwich, 2007. http://gala.gre.ac.uk/8257/.

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This thesis conducts empirical studies on China's stock market using contemporary financial theories in order to explain the anomalies in China's stock market and then put forward some policy implications on the basis of the empirical research findings. The thesis consists of seven chapters. In addition to providing a brief introduction to the relationship between stock market development and economic growth. Chapter 1 describes several anomalies occurring in the international stock markets and sets up a research framework for the thesis to further study. Chapter 2 is a literature review. It r

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Kim, Soh Yung. "An investigation of certain accounting-related stock market anomalies." Thesis, University of British Columbia, 2012. http://hdl.handle.net/2429/42061.

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In financial markets, anomalies refer to empirical regularities in which security returns deviate from what would be expected in an informationally efficient market. This dissertation investigates explanations for stock market anomalies related to accounting information as documented by Dichev (1998) and Piotroski (2000). Using Ohlson’s (1980) measure of bankruptcy risk (O-Score), Dichev (1998) documents a bankruptcy risk anomaly in which firms with high bankruptcy risk earn lower than average returns. My study first demonstrates that the negative association between bankruptcy risk and return

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Steinfeldt, Larissa C. "Do Market Anomalies Add Up?" Digital Commons @ East Tennessee State University, 2014. https://dc.etsu.edu/honors/192.

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This is a study about abnormal characteristics in the stock market and how to successfully use them in personal portfolios. Market anomalies are unexpected excess returns that occur in relation to certain variables. Five commonly known market anomalies (market cap, price-earnings ratio, price-book value, momentum, volatility) are tested to give evidence for their presence. Existing variables are then combined in different portfolios in order to observe whether they generate greater excess returns combined rather than individually. This study will also reveal whether long-term holding is possib

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Law, Kin-hung, and 羅建雄. "Firm size related anomalies and stock return seasonality in the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1988. http://hub.hku.hk/bib/B31264128.

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Nilsson, Maximiliam, and Månsson Gottfrid Bylund. "Combining Value and Momentum Strategies in the Swedish Stock Market : How market anomalies can be exploited to outperform stock market index." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-85876.

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Value and momentum strategies have been heavenly researched in financial academic literature. In this essay, different portfolios based on value and momentum strategies have been constructed to examine if it is possible to exploit market anomalies to outperform market returns. Both value and momentum is seen as two market anomalies according to earlier literature. The test were made on the Swedish market, and all data were collected from the Nasdaq OMX Stockholm Large Cap list. The findings includes a significant outperformance of market returns in nearly all portfolio tested, as well as lower

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Ekdahl, Malin, and Roya Emilia Aram. "Stock Market Efficiency : A Test of the Swedish Stock Market in the Weak Form." Thesis, Linköping University, Department of Management and Economics, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-1536.

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<p>Background: A well-known study, similar to ours, was made in 1985 in America, showing that "loser" portfolios outperformed the market while "winner" portfolios earned less return than the market. This finding is not in accordance with the theory of efficient markets. If a market is efficient, there should be no possibility of making sustainable excess returns and prices should follow a random walk. </p><p>Purpose: The purpose of this thesis is to study a "winner" portfolio and a "loser" portfolio in order to establish whether the Swedish stock market is efficient in the weak form. We will s

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Atsin, Achiapo Jessica Lisette. "Analysis of calendar effects and market anomalies on the Johannesburg Stock Exchange." Thesis, Nelson Mandela Metropolitan University, 2015. http://hdl.handle.net/10948/d1020372.

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This study sought to empirically investigate the existence of calendar effects and market anomalies on the JSE using monthly and daily closing prices of the ALSI, Top 40, Mid Cap and Small Cap index; as well as, daily closing prices on the Value, Growth and Dividend Plus index during the sample period 2002 – 2013. The anomalies analysed are the January effect, the weekend effect, the size effect, the value effect, and the dividend yield effect. The empirical analysis uses a number of MSAR with a different number of regimes and lag orders. The results from the investigation of the January effec

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Ficik, Jozef. "Are Financial Market Anomalies Real? Evidence from Stock Markets in Five Countries." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-198627.

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The financial market anomaly can be characterized as the event when observed stock returns differentiate from those expected by concrete pricing model. Many anomalies have been detected so far, and some of them vanished, while other persisted, after they had been published by academics and researchers. The aim of this thesis is to investigate the potential presence of selected types of anomalies in the financial markets and to provide relevant empirical evidence. The theoretical section will supply the reader with the descriptions of several types of financial market anomalies and the results

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Guo, Siqi, and Zhiqiang Wang. "Market efficiency anomalies : A study of seasonality effect on the Chinese stock exchange." Thesis, Umeå University, Umeå School of Business, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1581.

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<p>The Chinese stock market is a remarkable emerging market, the two stock markets Shanghai and Shenzhen Stock Exchanges were both established in 1990, and since then they have been playing a very important role in Chinese economy. More and more attention is focused on the emerging Chinese market, and investors have been trying to find the opportunity to achieve abnormal returns through the Chinese stock market. We name this phenomenon market efficiency anomaly, one pattern of which is seasonality effect. In our study, we would like to choose the seasonality effect as the approach.</p><p>This

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Botes, Gearé. "The adaptive markets hypothesis: Testing for variable efficiency and cyclical profitability in the South African market." University of the Western Cape, 2020. http://hdl.handle.net/11394/8027.

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Magister Commercii - MCom<br>This research attempts to discover whether the Adaptive Market Hypothesis theory is applicable in the South African financial market and explores the innovation and cyclical profitability implications of the Adaptive Market Hypothesis theory. This is achieved in two parts: first by determining if returns follow a random walk or not and second by analysing the consistency of technical and fundamental factors to explain the cross-section of equity returns between 1 January 1998 to 31 December 2017. The tests of stock return dependency include a total of five tests o

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Sangmanee, Amporn. "An Empirical Analysis of Stock Market Anomalies and Spillover Effects: Evidence from the Securities Exchange of Thailand." Thesis, University of North Texas, 1994. https://digital.library.unt.edu/ark:/67531/metadc277737/.

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This study examines two interrelated but separate issues: cross-sectional predictability of equity returns in the Stock Exchange of Thailand (SET), and transmission of stock market movements. The first essay empirically investigates to what extent the evidence of three major documented stock market anomalies (earnings-price ratio, firm size, and book-to-market ratio) can be generalized across national stock markets. The second essay studies the price and volatility spillover effects from the New York Stock Exchange (NYSE) to the SET. The first essay, using the Fama-Macbeth procedure and the po

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Halari, Anwar. "An analysis of monthly calendar anomalies in the Pakistani stock market : a study of the Gregorian and Islamic calendars." Thesis, University of Dundee, 2013. https://discovery.dundee.ac.uk/en/studentTheses/ef1d3ef3-4cda-4a39-83eb-aa3ba3d46689.

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Most of the prior research in the area of monthly regularities has been based on the Gregorian calendar; by contrast, little attention has been given to other calendars based on different religions or cultures. This thesis examines monthly calendar anomalies in the Pakistani stock market for both the Gregorian calendar and its Islamic counterpart. This is one of the first studies to investigate both calendars for monthly seasonality in one investigation on the same dataset. Empirical studies of the Pakistani stock market that have examined monthly calendar anomalies are relatively sparse when

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Moodley, Tashinee. "Fundamental momentum on the Johannesburg Stock Exchange." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22778.

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Financial market anomalies are constant subjects of debate because of their devotion form the foundational financial theories. Fama and French (2008) referred to the momentum effect as the premier anomaly. Thus, this study sought to apply the concept of momentum to examine three investment strategies. The first strategy was price momentum, an existing investment strategy but which was used as a comparison to the returns of the second and third strategies. The second strategy applied momentum to return on equity, operating cash flow and earnings before interest, tax, depreciation and amortisati

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Karabelas, Nikolaos, and Alexander Moshovitis. "Stock Screening and Superior Returns : An Assessment of the Presence of Financial Market Anomalies on the Stockholm Stock Exchange." Thesis, Jönköping University, JIBS, Business Administration, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-11569.

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JUNIOR, HEITOR DE SOUZA LIMA. "A STUDY OF PRICING ANOMALIES IN THE BRAZILIAN STOCK MARKET USING THE FOUR-FACTOR PRICING MODEL." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=4121@1.

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O objetivo inicial do presente trabalho é caracterizar a existência das tradicionais anomalias de apreçamento observadas em relação ao CAPM (efeitos Tamanho, Valor e Momento) para o mercado brasileiro de ações, para o período de junho de 1994 a dezembro de 2001. As evidências obtidas mostram a ocorrência do efeito Tamanho, bem como a existência de um forte poder explanatório do Risco de Mercado (Rm-Rf). Subseqüentemente, são realizados testes de apreçamento de ativos utilizando a abordagem de regressões de séries temporais, através da metodologia SUR (Seemingly Unrelated Regressions)

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Benjaminsson, Oliver, and Pontus Reinhold. "The Halloween Effect : A trick or treat in the Swedish stock market?" Thesis, Internationella Handelshögskolan, Jönköping University, IHH, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-49390.

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The Halloween effect refers to higher stock returns during the period November to April compared to May to October. This is a well-known calendar anomaly that has gained a lot of attention due to the fact that the effect is persistent in the market in spite of the fact that investors are aware of the anomaly today. This evokes questions regarding the efficiency in the markets and the Efficient Market Hypothesis in particular. The main focus of this thesis was to investigate whether the Halloween effect still exists in the Swedish stock market and if the power of the effect deviates between dif

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Davidsson, Marcus. "Stock Market Anomalies : A Literature Review and Estimation of Calendar affects on the S&P 500 index." Thesis, Jönköping University, Jönköping International Business School, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-315.

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<p>This thesis investigates the Day-of-the-week, Month-of-the-year and Quarter-of-the-year effects. Historical data from the S&P 500 index between 1970- 2005 is analyzed. The purpose is to investigate if there is any evidence of increased returns (ROR) pattern related to seasonality during this period. The conclusion is that Wednesdays, December and Quarter 4 have had the highest ROR while Mondays, September and Quarter 3 have had the lowest ROR.</p><p>The empirical analysis found support for the Monday effect that Mondays are the days with the lowest stock returns. An investor would have earn

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Al-Hajieh, H. "Market efficiency and volatility in an Islamic financial market interpreted from a behavioural finance perspective : a case study of the Amman Stock Exchange." Thesis, Coventry University, 2011. http://curve.coventry.ac.uk/open/items/cfff00ca-c72c-49d7-a818-03e03ea3bcb5/1.

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The research undertaken aims to contribute to the debate about market efficiency and market volatility in an Islamic context. The research relates to the Amman Stock Exchange (ASE) and covers the period 1992 to 2007. It undertakes quantitative analysis involving two key elements: first, testing for random walk and calendar anomaly effects in market returns and, second, modelling volatility in market returns. The thesis applies a series of standard econometric and statistical techniques to this issue. The key ‘novel’ contributions of this study relate to the focus on Islamic religious holiday e

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Hýža, David. "Stock market panics, safe havens and implications for the portfolio management." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-199200.

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The thesis addresses the instabilities in stock markets in the USA. There are many factors that may increase the price volatility, or even cause a panic. During these turbulent times investors can seek shelter in investment safe havens that allow protecting their portfolio against significant financial losses. The focus is put on identifying the situations where it is appropriate to use the safe havens and how to properly time all transactions. Historical insight, events study and investigating economic cycles are the integral part of the work.

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Bardh, Pontus, and Jacob Haglund. "An Investment Approach Built on Systematic Risk : A performance analysis based on the characteristics of defensive and cyclical sectors on the Swedish stock market." Thesis, Jönköping University, IHH, Nationalekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-52950.

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This thesis investigates and compares the performance and characteristics of defensive and cyclical sectors on the Swedish stock market during 2003-2020 and the financial crisis in2007-2008, taking monthly price developments from nine sectors. The purpose is to examine the differences in sector performances based on the estimations of systematic risk. Using the relationship between risk and return, we aim to find the most beneficial investment strategy for investors with a long-term investment horizon and provide knowledge to investors who may want to change investment schemes during stock mar

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Djerf, Martin, and August Lundgren. "Size and Seasonality : Using Enterprise Value and the January effect to Investigate the Size effect on the Swedish stock market 2000-2019." Thesis, Jönköping University, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-49432.

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In 1981, Banz discovered evidence suggesting that small-cap firms outperform large-cap firms when considering risk-adjusted returns. Banz (1981), called this the “size effect” and raised concerns regarding the ability of current asset pricing models to set accurate prices for assets. This resulted in new models being developed, such as the Fama and French three-factor model which takes the size of a company into consideration (Fama & French, 1992). However, since the discovering of the size effect, several researchers have started to question its existence. (Asgharian & Hansson, 2008)

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Hallberg, Oscar, and Filip Arklid. "How to beat the Baltic market : An investigation of the P/E effect and the small firm effect on the Baltic stock market between the years 2000-2014." Thesis, Umeå universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-105680.

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The question many investors ask is whether or not it is possible to beat the market andearn money by being active on the stock market. In efficient markets this should not be possible, but several researches have come up with strategies that prove the opposite. There are certain market movements that cannot be explained by the arguments of the traditional efficient market hypothesis and such market movements are in the standard finance theory called anomalies. Two well-known anomalies are the P/E effect and the small firm effect. The P/E effect means that portfolios with low P/E stocks attain

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Ganbold, Sanjaasuren, and Andrey Falileev. "Does the existence of option affect cross-listed stock prices? - Empirical investigation of whether there is any effect on stock prices caused by option existence (a study on hardware & technology companies)." Thesis, Umeå universitet, Företagsekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-96177.

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Priestley, Richard. "Approximate factor structures, macroeconomic and financial factors, unique and stable return generating processes and market anomalies : an empirical investigation of the robustness of the arbitrage pricing theory." Thesis, Brunel University, 1994. http://bura.brunel.ac.uk/handle/2438/5448.

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This thesis presents an empirical investigation into the Arbitrage Pricing Theory (APT). At the onset of the thesis it is recognised that tests of the APT are conditional on a number of preconditions and assumptions. The first line of investigation examines the effect of the assumed nature of the form of the return generating process of stocks. It is found that stocks follow an approximate factor structure and tests of the APT are sensitive to the specified form of the return generating process. We provide an efficient estimation methodology for the case when stocks follow an approximate facto

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Rosenius, Niklas, and Gustav Sjöholm. "Arbitrage opportunities on the OMXS : How to capitalize on the ex-dividend effect." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-81173.

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Investors are continuously looking to increase the return on their investments. In an ideal world investors want to increase there return and outperform the market. Theory states that it is impossible to do so without increasing your risk. Arbitrage is a concept where investors are able to generate risk-free returns exceeding the market. Dividend is a common tool for publicly listed firms when rewarding their shareholders. On ex- dividend day, the day after the dividend payout, the stock price should according to theory decrease in order for the valuation of the stock to be held constant. In o

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Olofsson, Niklas, and Alice Törnqvist. "Aktielikviditet på Stockholmsbörsen och NGM - prissätts likviditet i aktiehandeln?" Thesis, Högskolan i Gävle, Företagsekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-29992.

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Syfte: Syftet är att undersöka om det finns ett samband mellan aktiers likviditet och avkastning. Metod: Vår studie består av en kvantitativ metod där vi med hjälp av databasen Eikon från Thomson Reuters samlat in finansiella data. Vi har sedan med hjälp av Excel sammanställt och gjort beräkningar och slutligen gjort korrelationstester i statistikprogrammet SPSS. Resultat och slutsats: Studien skiljer sig från tidigare forskningsresultat då ingen signifikant likviditetspremie kan fastställas vid årlig ombalansering av portföljerna. När portföljerna behåller samma aktier under hela tidsperiode

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Arvidsson, Carl, and Tim Gudrais. "Monkey Strategy : Swinging through the Capital Anomaly Jungle." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-194802.

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The aim of this paper is to test whether an investment strategy originally created by Piotroski (2000), can be refined by combining it with the price-to-earnings-anomaly. In detail, we accomplish this by implementing Piotroskis F_SCORE-model to identify and consequently separate financially weak- and strong firms. Furthermore, we create an investment portfolio based on a combination of the highest rated companies according to the F_SCORE-model, and the most undervalued companies from the price-to-earnings-anomaly, to create a joint investment strategy (M_STRAT). This is carried out during the

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Vosilov, Rustam, and Nicklas Bergström. "Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models." Thesis, Umeå University, Umeå School of Business, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-34898.

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<p>The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. Following Fama & French many other researchers examine the explanatory powers of CAPM and other asset pricing models. However, most of those studies use US data. There are some researches done in different

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Bergquist, Philip, Patrik Lindgren, and Olof Persson. "The Value of Change : An event-study of Ownership Disclosures." Thesis, Jönköping University, JIBS, Business Administration, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-310.

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<p>Background:</p><p>Recent business paper articles observe that stocks soar when there is a change in ownership. The clothing company JC climbed 26% when it was announced Torsten Jansson had increased his holdings. Daydream, a computer game developer, followed this trend increasing its market value by 17% on the news that TA Capital had increased its hold-ings. In these examples, the market learned of the changes in ownership through a press release created by the acquiring entity. These pieces of news, also known as ownership disclosures, is the target of this thesis.</p><p>Purpose:</p><p>Th

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Arakelian, Alisa, and Mattias Malki. "Marknadseffektiviteten på Stockholmsbörsen efter finanskrisen 2008 : En studie om marknadseffektivitet på NasdaqOMX." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-18476.

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Syfte: Syftet med uppsatsen är att undersöka hur marknadseffektiviteten på Stockholmsbörsen har blivit påverkat av finanskrisen 2008, vilket genomförs genom att undersöka om bolag får avvikande avkastning vid publicering av kvartalsrapporter. Teori: Teorikapitlet utgår från den effektiva marknadshypotesen, där dess tre olika komponenter samt anomalier tas upp. Metod: Undersökningen genomförs med hjälp av en event studie och en hypotesprövning för att kontrollera hur effektiviteten på NasdaqOMX har blivit påverkad av finanskrisen. Undersökningen utgår ifrån en period på tre år, 2009-2011, och o

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Zhang, Hao. "Essays on stock market anomalies." Thesis, 1991. http://spectrum.library.concordia.ca/3180/1/NN73643.pdf.

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Liou, Long Chang, and 劉龍昌. "Institutional Investors and Stock Market Anomalies: Evidence from Taiwan Stock Market." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/20298531745194227575.

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碩士<br>長庚大學<br>企業管理研究所<br>96<br>Three of the most noticeable anomalies documented in the finance literature are January effect, Monday seasonal anomaly and Size effect. In this research, we attempt to explore the issues of stock market anomalies. If stock returns exhibit anomalies regularities, the investors are expected to take advantage of these patterns, thereby anomalies will disappear. As indicated by the empirical results, the January effect seems to be weaker in the stocks with high proportion of institutional holding. January return is also smaller in stocks with high institutional ho

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39

Hwang, Jiann-rong, and 黃俊榮. "Calendar Anomalies in Taiwan Stock Market." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/27810204312625040063.

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"Risk, anomalies, stock market in Hong Kong." 1998. http://library.cuhk.edu.hk/record=b5889725.

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Wong Chin Pang, Antonio.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaves 48-52).<br>Abstract also in Chinese.<br>Abstract --- p.2<br>Acknowledgment --- p.4<br>Chapter 1 --- Introduction --- p.7<br>Chapter 2 --- Data and Methodology --- p.13<br>Chapter 3 --- Univariate Analysis --- p.15<br>Chapter 3.1 --- Momentum Strategies --- p.15<br>Chapter 3.2 --- Contrarian Strategies --- p.17<br>Chapter 3.3 --- Value Strategies --- p.18<br>Chapter 3.4 --- Descriptive Statistics --- p.22<br>Chapter 4 --- Anatomy of Contrarian and Value St

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41

"Size-related stock market anomalies on the Shenzhen A shares market." Chinese University of Hong Kong, 1996. http://library.cuhk.edu.hk/record=b5888669.

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by Chiu Mui-Ling.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1996.<br>Includes bibliographical references (leaves 48-51).<br>ACKNOWLEDGMENTS --- p.ii<br>ABSTRACT --- p.iii<br>TABLE OF CONTENTS --- p.iv<br>LISTS OF TABLES --- p.vi<br>LISTS OF CHARTS --- p.vii<br>Chapter<br>Chapter I. --- INTRODUCTION --- p.1<br>Chapter II. --- LITERATURE REVIEW --- p.3<br>Chapter III. --- SHENZHEN STOCK MARKET --- p.16<br>Historical Background --- p.16<br>Membership of Shenzhen Stock Exchange --- p.18<br>Types of Shares --- p.19<br>A Shares --- p.19<br>B Shares --- p.20<br>H Shares --- p

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42

Kim, Young Guk. "Regularities and anomalies of the Korea stock market tests of market efficiency." 1991. http://catalog.hathitrust.org/api/volumes/oclc/24508064.html.

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Katō, Kiyoshi. "Seasonal and size anomalies in the Japanese stock market." 1985. http://catalog.hathitrust.org/api/volumes/oclc/19978918.html.

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劉水金. "The empirical study various anomalies in Taiwan stock market." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/92774976886013675692.

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Harshita. "Stock market anomalies : an empirical study in Indian context." Thesis, 2018. http://eprint.iitd.ac.in:80//handle/2074/7933.

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Borromeo, John. "Stock Market Anomalies for Companies Listed on the National Stock Exchange of Australia." Thesis, 2018. https://vuir.vu.edu.au/38627/.

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Purpose – Many theoretical financial theories attempt to explain the behaviour of stocks and the structure of their returns, namely the Portfolio Theory, the Capital Asset Pricing Model (CAPM), the Efficient Market Hypothesis (EMH), and Behavioural Finance. These theories, however, have provided incomplete and contradictory explanations regarding stock market anomalies. The aim of this research is to analyse the theory of anomalies and develop a comprehensive theoretical model based on the extant financial theories to develop an improved explanation about stock market anomalies. The pri

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"Performance, market anomalies, trading volume & stock index relationships in neglected markets." 1998. http://library.cuhk.edu.hk/record=b5896254.

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by Ip Ka Tsun Anthony and Tang Ying Wa.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaves 42-46).<br>ABSTRACT --- p.i<br>TABLE OF CONTENTS --- p.iii<br>LIST OF TABLES --- p.iv<br>ACKNOWLEDGMENTS --- p.v<br>Chapter<br>Chapter I. --- INTRODUCTION --- p.1<br>Chapter II . --- LITERATURE REVIEW --- p.4<br>Selection Criteria of the Neglected Markets --- p.4<br>Market Review --- p.4<br>Day-of-the-Week Effect --- p.9<br>Month- of - the - Year Effect --- p.11<br>Spill´ؤOver Effect Across National Stock Markets --- p.11<br>Gra

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Horng, Yeong Chong, and 洪永聰. "Intra-day Buy-Sell Pressure and Stock Market Anomalies in Taiwan." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/19708339571141349859.

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Hu, Chia-Yu, and 胡家瑜. "Analysis of the Calendar Anomalies in the Stock Market of Taiwan." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/57785595146968711166.

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碩士<br>淡江大學<br>管理科學研究所<br>82<br>The meaning of calendar anomalies is that the price of the stocks will appear anomalous retruns in some special period. Among the numerous calendar anomalies,the day-of-the-week effect,the holiday effect and the seasonality effect are discussed more general than others in most emperical studies. This study wishes to understand the calendar anomalies in the stock market of Taiwan which have experienced structure change after 1987,however,this study also want to

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Liang, Chern Jiann, and 陳建良. "The Empirical Study of Various Anomalies in Taiwan''''s Stock Market." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/65378505220840011408.

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碩士<br>國立交通大學<br>管理科學研究所<br>82<br>After finding " Efficient Market Hypothesis " and " Capital Asset Pricing Model " each other, these two important theories became the most attractive research field and affect the foll- owing theories very much. But after being discovered anomalies embedded in stock mark- et by empiricists , these two important theories encountered severe critique . if there is any anomalies existed in stock market , We cannot help suspecting the market efficiency . The

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