Can retail investors exploit stock market anomalies?
AbstractThis 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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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 22 (2012)
Issue (Month): 7 (April)
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Web page: http://www.tandfonline.com/RAFE20
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