Can retail investors exploit stock market anomalies?

Siganos, Antonios

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.

Citation

Siganos, A. (2012). Can retail investors exploit stock market anomalies?. Applied Financial Economics, 22(7), 537-547. https://doi.org/10.1080/09603107.2011.619493

• Journal Article Type: Article
• Online Publication Date: Dec 2, 2011
• Publication Date: 2012-04
• Deposit Date: Jul 6, 2021
• Journal: Applied Financial Economics
• Print ISSN: 0960-3107
• Electronic ISSN: 1466-4305
• Publisher: Routledge
• Peer Reviewed: Peer Reviewed
• Volume: 22
• Issue: 7
• Pages: 537-547
• DOI: https://doi.org/10.1080/09603107.2011.619493
• Keywords: stock market anomalies, small investors, transaction cost, contracts for difference (CFDs)
• Public URL: http://researchrepository.napier.ac.uk/Output/2785084