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Can retail investors exploit stock market anomalies?

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  • Antonios Siganos
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    Abstract

    This article investigates the extent to which small investors can exploit a range of stock market anomalies. The study uses a small number of companies to define both long and short portfolios, and investigates the post-cost profitability of the following strategies: earnings/price, return/assets, price, asset growth, size, dividend/price and overreaction. Transaction cost is estimated when buying underlying shares and when selling short shares with Contracts For Difference (CFDs). Findings show that only the earnings/price strategy can enjoy net gains for small investors showing some evidence against stock market efficiency.

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    File URL: http://hdl.handle.net/10.1080/09603107.2011.619493
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 22 (2012)
    Issue (Month): 7 (April)
    Pages: 537-547

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    Handle: RePEc:taf:apfiec:v:22:y:2012:i:7:p:537-547

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