Asset Pricing Anomalies and the State Ownership Effect in China's Domestic Stock Market

2017 ◽  
Author(s):  
Henry Zhang ◽  
Stephen E. Satchell ◽  
P. Joakim Westerholm
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
State Ownership ◽  
The State ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies ◽  
Ownership Effect ◽  
Domestic Stock

Market anomalies, asset pricing models, and stock returns: evidence from the Indian stock market

2015 ◽  
Vol 9 (3) ◽  
pp. 306-328 ◽  
Author(s):  
Saumya Ranjan Dash ◽  
Jitendra Mahakud
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Pricing Models ◽  
Market Anomalies ◽  
Content Type ◽  
Asset Pricing Models ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies ◽  
Fama And French ◽  
Three Factor

Purpose – This paper aims to investigate whether the use of conditional and unconditional Fama and French (1993) three-factor and Carhart (1997) four-factor asset pricing models (APMs) captures the role of asset pricing anomalies in the context of emerging stock market like India. Design/methodology/approach – The first step time series regression approach has been used to drive the risk-adjusted returns of individual securities. For examining the predictability of firm characteristics or asset pricing anomalies on the risk-adjusted returns of individual securities, the panel data estimation technique has been used. Findings – Fama and French (1993) three-factor and Carhart (1997) four-factor model in their unconditional specifications capture the impact of book-to-market price and liquidity effects completely. When alternative APMs in their conditional specifications are tested, the importance of medium- and long-term momentum effects has been captured to a greater extent. The size, market leverage and short-term momentum effects still persist even in the case of alternative unconditional and conditional APMs. Research limitations/implications – The empirical analysis does not extend for different market scenarios like high and low volatile market or good and bad macroeconomic environment. Because of the constraint of data availability, the authors could not include certain important anomalies like net operating assets, change in gross profit margin, external equity and debt financing and idiosyncratic risk. Practical implications – Although the active investment approach in stock market shares a common ground of semi-strong form of market efficiency hypothesis which also supports the presence of asset pricing anomalies, less empirical evidence has been explored in this regard to support or repute such belief of practitioners. Our empirical findings make an attempt in this regard to suggest certain anomaly-based trading strategy that can be followed for active portfolio management. Originality/value – From an emerging market perspective, this paper provides out-of-sample empirical evidence toward the use of conditional Fama and French three-factor and Carhart four-factor APMs for the complete explanation of market anomalies. This approach retains its importance with respect to the comprehensiveness of analysis considering alternative APMs for capturing unique effects of market anomalies.

Asset-Pricing Anomalies at the Firm Level

2010 ◽  
Author(s):  
Scott Cederburg ◽  
Phil R. Davies ◽  
Michael S. O'Doherty
Keyword(s):  
Asset Pricing ◽  
Firm Level ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies

Asset Pricing Anomalies and Macroeconomic Risk

2011 ◽  
Author(s):  
Paul Docherty ◽  
H. Chan ◽  
Stephen Andrew Easton
Keyword(s):  
Asset Pricing ◽  
Macroeconomic Risk ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies

Examining Asset Pricing Anomalies: Evidence from Europe

2021 ◽  
pp. 227853372110257
Author(s):  
Asheesh Pandey ◽  
Rajni Joshi
Keyword(s):  
Asset Pricing ◽  
Pricing Model ◽  
Pricing Models ◽  
Investment Rate ◽  
Asset Pricing Model ◽  
Fund Managers ◽  
Asset Pricing Models ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies ◽  
Portfolio Managers

We examine five important asset pricing anomalies, namely, size, value, momentum, profitability, and investment rate to evaluate their efficacy in major West European economies, that is, France, Germany, Italy, and Spain. We employ four prominent asset pricing models, namely Capital Asset Pricing Model (CAPM), Fama–French three-factor (FF3) model, Carhart model and Fama–French five-factor (FF5) model to evaluate whether portfolio managers can create trading strategies to generate risk-adjusted extra normal returns for their investors. We also examine the prominent anomalies which pass the test of asset pricing in our sample countries and evaluate the best performing asset pricing model in explaining returns in each of these countries. We find that in spite of being matured markets, these countries provide portfolio managers with opportunities to exploit these strategies to generate extra normal returns for their investors. Momentum anomaly for Germany and profitability anomaly for Italy can be exploited by fund managers for generating risk-adjusted returns. For France, except for net investment rate anomaly, all the other anomalies remained unexplained by asset pricing models. We also find CAPM to be the better model in explaining returns of Italy and Spain. While FF3 factor and FF5 factor models explain returns in Germany, our sample asset pricing models failed to work for France. Our study has implications for portfolio managers, academia, and policymakers.

Real-Time Profitability of Published Anomalies: An Out-of-Sample Test

2013 ◽  
Vol 03 (03n04) ◽  
pp. 1350016 ◽  
Author(s):  
Jing-Zhi Huang ◽  
Zhijian Huang
Keyword(s):  
Asset Pricing ◽  
Transaction Costs ◽  
Real Time ◽  
Empirical Evidence ◽  
Equity Market ◽  
Data Snooping ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies ◽  
Out Of Sample ◽  
Sample Test

Empirical evidence on the out-of-sample performance of asset-pricing anomalies is mixed so far and arguably is often subject to data-snooping bias. This paper proposes a method that can significantly reduce this bias. Specifically, we consider a long-only strategy that involves only published anomalies and non-forward-looking filters and that each year recursively picks the best past-performer among such anomalies over a given training period. We find that this strategy can outperform the equity market even after transaction costs. Overall, our results suggest that published anomalies persist even after controlling for data-snooping bias.

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