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
POST, THIERRY () (Erasmus University Rotterdam .P.O. Box 1738, 3000 DR Rotterdam, The Netherlands.)
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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Find related papers by JEL classification: G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data) G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
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