All Outputs (2)

Can retail investors exploit stock market anomalies? (2011)
Journal Article
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

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 foll... Read More about Can retail investors exploit stock market anomalies?.

Higher co-moments and asset pricing on London Stock Exchange (2011)
Journal Article
Kostakis, A., Muhammad, K., & Siganos, A. (2012). Higher co-moments and asset pricing on London Stock Exchange. Journal of Banking and Finance, 36(3), 913-922. https://doi.org/10.1016/j.jbankfin.2011.10.002

This study examines the asset pricing implications of preferences over the higher moments of returns’ distributions. We show that in a market populated by risk-averse, prudent and temperate investors, firms whose returns exhibit negative coskewness o... Read More about Higher co-moments and asset pricing on London Stock Exchange.