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Anomalies: Is it the Economy?

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  • TeWhan Hahn
  • Michele O'Neill
  • Mario G. Reyes

Abstract

There is still no consensus on whether small firm or value stock anomalies exist. We examine the last half of the 20th century and apply a six‐factor macroeconomic model to test for the presence of these abnormal returns. Using four proxies for value, we find that detecting this anomaly is sensitive to choice of proxy, the magnitude of the abnormal returns varies over time, and the anomaly does not persist through time. Additional tests provide evidence that abnormal returns for small, value‐oriented, and growth‐oriented firms differ significantly under restrictive versus expansive monetary policy regimes.

Suggested Citation

  • TeWhan Hahn & Michele O'Neill & Mario G. Reyes, 2004. "Anomalies: Is it the Economy?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 27(2), pages 273-287, June.
    • Handle: RePEc:bla:jfnres:v:27:y:2004:i:2:p:273-287
    DOI: 10.1111/j.1475-6803.2004.t01-1-00083.x
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    Cited by:

    1. Alexandros Kontonikas & Alexandros Kostakis, 2013. "On Monetary Policy and Stock Market Anomalies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 1009-1042, September.

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