Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies

2019 ◽  
Author(s):  
Marie Briere ◽  
Charles‐Albert Lehalle ◽  
Tamara Nefedova ◽  
Amine Raboun
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Market Liquidity ◽  
Trading Costs ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies ◽  
Stock Market Liquidity

Trading Costs of Asset Pricing Anomalies

2012 ◽  
Author(s):  
Andrea Frazzini ◽  
Ronen Israel ◽  
Tobias J. Moskowitz
Keyword(s):  
Asset Pricing ◽  
Trading Costs ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies

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
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