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Can retail investors exploit stock market anomalies?

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  • Antonios Siganos

Abstract

This article investigates the extent to which small investors can exploit a range of stock market anomalies. The study uses a small number of companies to define both long and short portfolios, and investigates the post-cost profitability of the following strategies: earnings/price, return/assets, price, asset growth, size, dividend/price and overreaction. Transaction cost is estimated when buying underlying shares and when selling short shares with Contracts For Difference (CFDs). Findings show that only the earnings/price strategy can enjoy net gains for small investors showing some evidence against stock market efficiency.

Suggested Citation

  • Antonios Siganos, 2012. "Can retail investors exploit stock market anomalies?," Applied Financial Economics, Taylor & Francis Journals, vol. 22(7), pages 537-547, April.
    • Handle: RePEc:taf:apfiec:v:22:y:2012:i:7:p:537-547
    DOI: 10.1080/09603107.2011.619493
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    References listed on IDEAS

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