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A Stochastic Dominance Approach to Spanning. With an Application to the January Effect/Una aproximación mediante la metodología del dominio estocástico al fenómeno del SPANNING. Una aplicación al efecto enero

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  • POST, THIERRY

    ()
    (Erasmus University Rotterdam .P.O. Box 1738, 3000 DR Rotterdam, The Netherlands.)

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    Abstract

    We develop a Stochastic Dominance methodology to analyze whether rational non-satiable and risk?averse investors benefit from a particular expansion of the investment possibilities. This methodology avoids the simplifying assumptions underlying the traditional mean?variance approach to spanning. The methodology is applied to analyze the stock market behavior of small firms in the month of January. Our findings suggest that the previously observed January effect is remarkably robust with respect to simplifying assumptions regarding the return distribution. En este trabajo se desarolla una metodología tipo Dominio Estocástico para analizar si un inversor racional, insaciable y adverso al riesgo se beneficia de una particular expansión de sus posibilidades de inversión. Mediante el Dominio Estocástico se elimina la asunción simplificadora subyacente a la aproximación tradicional Media Varianza a este fenómeno. En este trabajo se extiende también la aplicación de esta metodología al análisis del comportamiento del mercado de pequeñas firmas en el mes de enero. Los resultados obtenidos sugieren que la explicación de este fenómeno, el Efecto Enero, no es congruente con la asunción simplificadora sobre el comportamiento de los rendimientos.

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    Bibliographic Info

    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 23 (2005)
    Issue (Month): (Abril)
    Pages: 7-25

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    Handle: RePEc:lrk:eeaart:23_1_1

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    Related research

    Keywords: Spanning; Dominio Estocástico; Efecto Enero; Asimetría;

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    References

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    1. Davidson, R. & Duclos, J.-Y., 1998. "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality," G.R.E.Q.A.M. 98a14, Universite Aix-Marseille III.
    2. Huberman, Gur & Kandel, Shmuel, 1987. " Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-88, September.
    3. Larsen, Glen A, Jr & Resnick, Bruce G, 1996. " Refining the Bootstrap Method of Stochastic Dominance Analysis: The Case of the January Effect," Review of Quantitative Finance and Accounting, Springer, vol. 7(1), pages 65-79, July.
    4. Hanoch, G & Levy, Haim, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Wiley Blackwell, vol. 36(107), pages 335-46, July.
    5. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06.
    6. Dybvig, Philip H & Ross, Stephen A, 1982. "Portfolio Efficient Sets," Econometrica, Econometric Society, vol. 50(6), pages 1525-46, November.
    7. Ray D. Nelson & Rulon D. Pope, 1991. "Bootstrapped Insights into Empirical Applications of Stochastic Dominance," Management Science, INFORMS, vol. 37(9), pages 1182-1194, September.
    8. Reinganum, Marc R., 1983. "The anomalous stock market behavior of small firms in January : Empirical tests for tax-loss selling effects," Journal of Financial Economics, Elsevier, vol. 12(1), pages 89-104, June.
    9. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    10. Kroll, Yoram & Levy, Haim, 1980. "Sampling Errors and Portfolio Efficient Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(03), pages 655-688, September.
    11. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
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