Investor Base and Stock Return Anomalies

2017 ◽  
Author(s):  
Stefan Anchev
Keyword(s):  
Stock Return ◽  
Stock Return Anomalies

Institutional investors and stock return anomalies

2016 ◽  
Vol 119 (3) ◽  
pp. 472-488 ◽  
Author(s):  
Roger M. Edelen ◽  
Ozgur S. Ince ◽  
Gregory B. Kadlec
Keyword(s):  
Institutional Investors ◽  
Stock Return ◽  
Stock Return Anomalies

scholarly journals Comparing Asset Pricing Factor Models under Multivariate t-Distribution: Evidence from China

2021 ◽  
Vol 2021 ◽  
pp. 1-13
Author(s):  
Xi Sun ◽  
Yihao Chen ◽  
Yulin Chen ◽  
Zhusheng Lou ◽  
Lingfeng Tao ◽  
...  
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Return ◽  
Model Comparison ◽  
Factor Model ◽  
Factor Models ◽  
Comparison Results ◽  
Distributional Assumptions ◽  
Stock Return Anomalies ◽  
T Distribution

Factor models provide a cornerstone for understanding financial asset pricing; however, research on China’s stock market risk premia is still limited. Motivated by this, this paper proposes a four-factor model for China’s stock market that includes a market factor, a size factor, a value factor, and a liquidity factor. We compare our four-factor model with a set of prominent factor models based on newly developed likelihood-ratio tests and Bayesian methods. Along with the comparison, we also find supporting evidence for the alternative t-distribution assumption for empirical asset pricing studies. Our results show the following: (1) distributional tests suggest that the returns of factors and stock return anomalies are fat-tailed and therefore are better captured by t-distributions than by normality; (2) under t-distribution assumptions, our four-factor model outperforms a set of prominent factor models in terms of explaining the factors in each other, pricing a comprehensive list of stock return anomalies, and Bayesian marginal likelihoods; (3) model comparison results vary across normality and t-distribution assumptions, which suggests that distributional assumptions matter for asset pricing studies. This paper contributes to the literature by proposing an effective asset pricing factor model and providing factor model comparison tests under non-normal distributional assumptions in the context of China.

Stock Return Anomalies and the Tests of the APT

1987 ◽  
Vol 42 (5) ◽  
pp. 1213-1224 ◽  
Author(s):  
MUSTAFA N. GULTEKIN ◽  
N. BULENT GULTEKIN
Keyword(s):  
Stock Return ◽  
Stock Return Anomalies

Institutional Investors and Stock Return Anomalies

2013 ◽  
Author(s):  
Roger M. Edelen ◽  
Ozgur Ince ◽  
Gregory B. Kadlec
Keyword(s):  
Institutional Investors ◽  
Stock Return ◽  
Stock Return Anomalies
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