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Stock Market Anomalies

In: Applied Asset and Risk Management

Author

Listed:
  • Marcus Schulmerich

    (State Street Global Advisors (SSgA))

  • Yves-Michel Leporcher

    (Crédit Agricole)

  • Ching-Hwa Eu

    (Deutsche Bank)

Abstract

This chapter provides a summary of the most important stock market anomalies, i.e., the weekend effect, the January effect, the turn-of-the-month and holiday effect, the S&P 500 effect, trading by insiders, the momentum of industry portfolio, home bias, the Value Line enigma and the expiry of IPO lockups. These anomalies cannot be explained by traditional finance theory and, since they show persistency, do not constitute arbitrage opportunities. Each anomaly is described, evidence is supplied and explanations are provided when available.

Suggested Citation

  • Marcus Schulmerich & Yves-Michel Leporcher & Ching-Hwa Eu, 2015. "Stock Market Anomalies," Management for Professionals, in: Applied Asset and Risk Management, edition 127, chapter 3, pages 175-244, Springer.
    • Handle: RePEc:spr:mgmchp:978-3-642-55444-5_3
    DOI: 10.1007/978-3-642-55444-5_3
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