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World wide security market regularities

In: HANDBOOK OF APPLIED INVESTMENT RESEARCH

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  • William T. Ziemba

Abstract

This paper is a brief survey of systematic violations of security market efficiencies in the US, Japan and other world wide equity markets. These security market regularities or anomalies seem to occur because of cash flow, institutional constraints and policies, investor behavior and sentiment, the slowness of markets to react to new information, the timing of favorable or unfavorable information flows and market maker supply–demand balances and optimal bid–ask spreads. While such anomalies are controversial and difficult to measure precisely as well as being variable over time, the persistence of many of these market regularities is of considerable interest to researchers and financial traders.

Suggested Citation

  • William T. Ziemba, 2020. "World wide security market regularities," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 12, pages 215-246, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811222634_0012
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    More about this item

    Keywords

    Applied Investments; Financial Forecasting; Portfolio Theory; Investment Strategies; Fundamental and Economic Anomalies; Behaviour of Investors;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G1 - Financial Economics - - General Financial Markets

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