From Market Anomalies to Behavioural Finance
From Market Anomalies to Behavioural Finance
From Market Anomalies to Behavioural Finance
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
Some Well-known <strong>Market</strong> <strong>Anomalies</strong><br />
• Many market anomalies were observed : excessive<br />
volatility puzzle, the equity premium puzzle, slow<br />
adjustment of s<strong>to</strong>ck prices <strong>to</strong> earning announcements,<br />
initial under-pricing in IPO, prices of the closed-end<br />
fund, good performance of small-sized s<strong>to</strong>ck, good<br />
performance of value s<strong>to</strong>cks,···.<br />
• Loser s<strong>to</strong>cks out-perform winner s<strong>to</strong>cks<br />
– DeBondt & Thaler (1985)<br />
• Winner s<strong>to</strong>cks out-perform loser s<strong>to</strong>cks<br />
– Jegadeesh & Titman (1993)
Change language