IDEAS home Printed from https://ideas.repec.org/h/spr/mgmchp/978-3-642-55444-5_3.html
   My bibliography  Save this book chapter

Stock Market Anomalies

In: Applied Asset and Risk Management

Author

Listed:
  • Marcus Schulmerich

    (State Street Global Advisors (SSgA))

  • Yves-Michel Leporcher

    (Crédit Agricole)

  • Ching-Hwa Eu

    (Deutsche Bank)

Abstract

This chapter provides a summary of the most important stock market anomalies, i.e., the weekend effect, the January effect, the turn-of-the-month and holiday effect, the S&P 500 effect, trading by insiders, the momentum of industry portfolio, home bias, the Value Line enigma and the expiry of IPO lockups. These anomalies cannot be explained by traditional finance theory and, since they show persistency, do not constitute arbitrage opportunities. Each anomaly is described, evidence is supplied and explanations are provided when available.

Suggested Citation

  • Marcus Schulmerich & Yves-Michel Leporcher & Ching-Hwa Eu, 2015. "Stock Market Anomalies," Management for Professionals, in: Applied Asset and Risk Management, edition 127, chapter 3, pages 175-244, Springer.
    • Handle: RePEc:spr:mgmchp:978-3-642-55444-5_3
    DOI: 10.1007/978-3-642-55444-5_3
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    References listed on IDEAS

    as
    1. Chui, Andy C. W. & Titman, Sheridan & Wei, K. C. John, 2003. "Intra-industry momentum: the case of REITs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 363-387, May.
    2. Craig W. Holden & Avanidhar Subrahmanyam, 2002. "News Events, Information Acquisition, and Serial Correlation," The Journal of Business, University of Chicago Press, vol. 75(1), pages 1-32, January.
    3. Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 497-509, June.
    4. Laura Casares Field & Gordon Hanka, 2001. "The Expiration of IPO Share Lockups," Journal of Finance, American Finance Association, vol. 56(2), pages 471-500, April.
    5. Karen K. Lewis, 1999. "Trying to Explain Home Bias in Equities and Consumption," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 571-608, June.
    6. Harjeet S Bhabra & Upinder S Dhillon & Gabriel G Ramirez, 1999. "A November Effect? Revisiting the Tax-Loss-Selling Hypothesis," Financial Management, Financial Management Association, vol. 28(4), Winter.
    7. Chang, Eric C. & Pinegar, J. Michael, 1986. "Return seasonality and tax-loss selling in the market for long-term government and corporate bonds," Journal of Financial Economics, Elsevier, vol. 17(2), pages 391-415, December.
    8. Chang, Saeyoung & Suk, David Y, 1998. "Stock Prices and the Secondary Dissemination of Information: The Wall Street Journal's "Insider Trading Spotlight" Column," The Financial Review, Eastern Finance Association, vol. 33(3), pages 115-128, August.
    9. Kamara, Avraham, 1997. "New Evidence on the Monday Seasonal in Stock Returns," The Journal of Business, University of Chicago Press, vol. 70(1), pages 63-84, January.
    10. Jay R. Ritter & Ivo Welch, 2002. "A Review of IPO Activity, Pricing, and Allocations," Journal of Finance, American Finance Association, vol. 57(4), pages 1795-1828, August.
    11. Benesh, Gary A & Pari, Robert A, 1987. "Performance of Stocks Recommended on the Basis of Insider Trading Activity," The Financial Review, Eastern Finance Association, vol. 22(1), pages 145-158, February.
    12. Stoll, Hans R. & Curley, Anthony J., 1970. "Small Business and the New Issues Market for Equities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 5(3), pages 309-322, September.
    13. Lesmond, David A. & Schill, Michael J. & Zhou, Chunsheng, 2004. "The illusory nature of momentum profits," Journal of Financial Economics, Elsevier, vol. 71(2), pages 349-380, February.
    14. Copeland, Thomas E. & Mayers, David, 1982. "The value line enigma (1965-1978) : A case study of performance evaluation issues," Journal of Financial Economics, Elsevier, vol. 10(3), pages 289-321, November.
    15. Ying Zhang & Giao X. Nguyen & Steven V. Le, 2010. "Yes, The Value Line Enigma Is Still Alive: Evidence from Online Timeliness Rank Changes," The Financial Review, Eastern Finance Association, vol. 45(2), pages 355-373, May.
    16. Jeffrey Wurgler & Ekaterina Zhuravskaya, 2002. "Does Arbitrage Flatten Demand Curves for Stocks?," The Journal of Business, University of Chicago Press, vol. 75(4), pages 583-608, October.
    17. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    18. Daniel J. Bradley & Bradford D. Jordan & Ha-Chin Yi & Ivan C. Roten, 2001. "Venture Capital And Ipo Lockup Expiration: An Empirical Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(4), pages 465-493, December.
    19. William N. Goetzmann & Alok Kumar, 2008. "Equity Portfolio Diversification," Review of Finance, European Finance Association, vol. 12(3), pages 433-463.
    20. Timothy C. Johnson, 2002. "Rational Momentum Effects," Journal of Finance, American Finance Association, vol. 57(2), pages 585-608, April.
    21. Bradley, Daniel J & et al, 2001. "Venture Capital and IPO Lockup Expiration: An Empirical Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(4), pages 465-493, Winter.
    22. Huberman, Gur, 2001. "Familiarity Breeds Investment," The Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 659-680.
    23. Damodaran, Aswath & Liu, Crocker H, 1993. "Insider Trading as a Signal of Private Information," The Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 79-119.
    24. Hasan, Iftekhar & Simaan, Yusif, 2000. "A rational explanation for home country bias," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 331-361, June.
    25. French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, vol. 81(2), pages 222-226, May.
    26. repec:bla:jfinan:v:53:y:1998:i:6:p:1839-1885 is not listed on IDEAS
    27. Tesar, Linda L. & Werner, Ingrid M., 1995. "Home bias and high turnover," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 467-492, August.
    28. Tobias J. Moskowitz & Mark Grinblatt, 1999. "Do Industries Explain Momentum?," Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, August.
    29. William F. Maxwell, 1998. "The January Effect in the Corporate Bond Market: A Systematic Examination," Financial Management, Financial Management Association, vol. 27(2), Summer.
    30. Choi, James J., 2000. "The Value Line Enigma: The Sum of Known Parts?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(3), pages 485-498, September.
    31. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    32. Eleswarapu, Venkat R. & Reinganum, Marc R., 1993. "The seasonal behavior of the liquidity premium in asset pricing," Journal of Financial Economics, Elsevier, vol. 34(3), pages 373-386, December.
    33. Peterson, David R., 1995. "The Informative Role of the Value Line Investment Survey: Evidence from Stock Highlights," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(4), pages 607-618, December.
    34. Harris, Lawrence E & Gurel, Eitan, 1986. "Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures," Journal of Finance, American Finance Association, vol. 41(4), pages 815-829, September.
    35. Grinblatt, Mark & Titman, Sheridan & Wermers, Russ, 1995. "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior," American Economic Review, American Economic Association, vol. 85(5), pages 1088-1105, December.
    36. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    37. Paul Brockman & David Michayluk, 1998. "The persistent holiday effect: additional evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 5(4), pages 205-209.
    38. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 83-106, February.
    39. Lakonishok, Josef & Lee, Inmoo, 2001. "Are Insider Trades Informative?," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 79-111.
    40. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1992. "The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias," Journal of Finance, American Finance Association, vol. 47(2), pages 553-575, June.
    41. Fama, Eugene F & French, Kenneth R, 1995. "Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-155, March.
    42. H. Nejat Seyhun, 1992. "Why Does Aggregate Insider Trading Predict Future Stock Returns?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 107(4), pages 1303-1331.
    43. Keasler, Terrill R, 2001. "Underwriter Lock-up Releases, Initial Public Offerings and After-Market Performance," The Financial Review, Eastern Finance Association, vol. 36(2), pages 1-20, May.
    44. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
    45. Loughran, Tim & Ritter, Jay R, 1995. "The New Issues Puzzle," Journal of Finance, American Finance Association, vol. 50(1), pages 23-51, March.
    46. Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
    47. Kahle, Kathleen M., 2000. "Insider trading and the long-run performance of new security issues," Journal of Corporate Finance, Elsevier, vol. 6(1), pages 25-53, March.
    48. Grundy, Bruce D & Martin, J Spencer, 2001. "Understanding the Nature of the Risks and the," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 29-78.
    49. Joshua D. Coval & Tobias J. Moskowitz, 1999. "Home Bias at Home: Local Equity Preference in Domestic Portfolios," Journal of Finance, American Finance Association, vol. 54(6), pages 2045-2073, December.
    50. Stickel, Scott E., 1985. "The effect of value line investment survey rank changes on common stock prices," Journal of Financial Economics, Elsevier, vol. 14(1), pages 121-143, March.
    51. Aditya Kaul & Vikas Mehrotra & Randall Morck, 2000. "Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment," Journal of Finance, American Finance Association, vol. 55(2), pages 893-912, April.
    52. Steeley, James M., 2001. "A note on information seasonality and the disappearance of the weekend effect in the UK stock market," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1941-1956, October.
    53. Alon Brav & Paul A. Gompers, 2003. "The Role of Lockups in Initial Public Offerings," The Review of Financial Studies, Society for Financial Studies, vol. 16(1), pages 1-29.
    54. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    55. Basu, S, 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis," Journal of Finance, American Finance Association, vol. 32(3), pages 663-682, June.
    56. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    57. Ziemba, William T., 1991. "Japanese security market regularities : Monthly, turn-of-the-month and year, holiday and golden week effects," Japan and the World Economy, Elsevier, vol. 3(2), pages 119-146, September.
    58. Kim, Chan-Wung & Park, Jinwoo, 1994. "Holiday Effects and Stock Returns: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(1), pages 145-157, March.
    59. Sylvain Friederich & Alan Gregory & John Matatko & Ian Tonks, 2002. "Short‐run Returns around the Trades of Corporate Insiders on the London Stock Exchange," European Financial Management, European Financial Management Association, vol. 8(1), pages 7-30, March.
    60. Ritter, Jay R, 1991. "The Long-run Performance of Initial Public Offerings," Journal of Finance, American Finance Association, vol. 46(1), pages 3-27, March.
    61. Diane K. Denis & John J. McConnell & Alexei V. Ovtchinnikov & Yun Yu, 2003. "S&P 500 Index Additions and Earnings Expectations," Journal of Finance, American Finance Association, vol. 58(5), pages 1821-1840, October.
    62. Shleifer, Andrei, 1986. "Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, vol. 41(3), pages 579-590, July.
    63. Huberman, Gur & Kandel, Shmuel, 1987. "Value Line Rank and Firm Size," The Journal of Business, University of Chicago Press, vol. 60(4), pages 577-589, October.
    64. Gershon Feder & Richard E. Just & Andrew Schmitz, 1980. "Futures Markets and the Theory of the Firm under Price Uncertainty," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 94(2), pages 317-328.
    65. Karsten Jeske, 2001. "Equity home bias: Can information cost explain the puzzle?," Economic Review, Federal Reserve Bank of Atlanta, vol. 86(Q3), pages 31-42.
    66. Dellva, Wilfred L & DeMaskey, Andrea L & Smith, Colleen A, 2001. "Selectivity and Market Timing Performance of Fidelity Sector Mutual Funds," The Financial Review, Eastern Finance Association, vol. 36(1), pages 39-54, February.
    67. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    68. Ariel, Robert A, 1990. "High Stock Returns before Holidays: Existence and Evidence on Possible Causes," Journal of Finance, American Finance Association, vol. 45(5), pages 1611-1626, December.
    69. E. Han Kim & Vijay Singal, 1997. "Are Open Markets Good for Foreign Investors and Emerging Nations?," Journal of Applied Corporate Finance, Morgan Stanley, vol. 10(3), pages 18-32, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, April.
    2. Vesna Karadžic & Tamara Backovic Vulic, 2011. "The Montenegrin Capital Market: Calendar Anomalies," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 56(191), pages 107-122, October-D.
    3. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
    4. Itzhak Venezia, 2018. "Lecture Notes in Behavioral Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10751, August.
    5. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2019. "Rise and fall of calendar anomalies over a century," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 181-205.
    6. David Hirshleife, 2015. "Behavioral Finance," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 133-159, December.
    7. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    8. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
    9. Meher Shiva Tadepalli & Ravi Kumar Jain, 2018. "Persistence of calendar anomalies: insights and perspectives from literature," American Journal of Business, Emerald Group Publishing Limited, vol. 33(1/2), pages 18-60, April.
    10. Beng Soon Chong & Zhenbin Liu, 2016. "CAR associated with SEO share lockups: Real or illusionary?," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 513-541, October.
    11. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
    12. Fatta Bahadur K.C. Ph. D. & Nayan Krishna Joshi, 2005. "The Nepalese Stock Market: Efficient and Calendar Anomalies," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 17, pages 40-85, April.
    13. Andrew Coutts & Christos Kaplanidis & Jennifer Roberts, 2000. "Security price anomalies in an emerging market: the case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 561-571.
    14. Sina Ehsani & Juhani T. Linnainmaa, 2019. "Factor Momentum and the Momentum Factor," NBER Working Papers 25551, National Bureau of Economic Research, Inc.
    15. Sina Ehsani & Juhani T. Linnainmaa, 2022. "Factor Momentum and the Momentum Factor," Journal of Finance, American Finance Association, vol. 77(3), pages 1877-1919, June.
    16. Barberis, Nicholas & Shleifer, Andrei, 2003. "Style investing," Journal of Financial Economics, Elsevier, vol. 68(2), pages 161-199, May.
    17. Danny Yeung, 2012. "The Impact of Institutional Ownership: A Study of the Australian Equity Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 11, July-Dece.
    18. Switzer, Lorne N. & El Meslmani, Nabil & Zhai, Xinkai, 2022. "IPO performance and the size effect: Evidence for the US and Canada," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    19. Martin H. Schmidt, 2017. "Trading strategies based on past returns: evidence from Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(2), pages 201-256, May.
    20. Krzysztof Borowski, 2015. "Analysis of the Weekend Effect on the Markets of 121 Equity Indices and 29 Commodities," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(4), pages 23-35.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:mgmchp:978-3-642-55444-5_3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.