2021
DOI: 10.21511/imfi.18(2).2021.20
|View full text |Cite
|
Sign up to set email alerts
|

Equity market anomalies in major European economies

Abstract: This paper investigates five leading equity market anomalies – size, value, momentum, profitability, and asset growth, for four Western European markets, namely, Germany, France, Italy and Spain, from January 2002 to March 2018. The study tests whether these anomalies reverse under different macro-economic uncertainty conditions, and evaluates if strategies based on time diversification can be formed using these equity market anomalies. Market anomalies were tested using four major asset pricing models – the C… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1
1

Citation Types

0
2
0

Year Published

2022
2022
2023
2023

Publication Types

Select...
2

Relationship

0
2

Authors

Journals

citations
Cited by 2 publications
(2 citation statements)
references
References 36 publications
(34 reference statements)
0
2
0
Order By: Relevance
“…The finding is that stock size influences market overreaction in the Kompas100 Index portfolio. Pandey, Sehgal, Mohapatra, and Samanta (2021) studied four Western European countries. The findings also fit this study: low-cap stocks provide greater returns than high-cap stocks.…”
Section: Discussionmentioning
confidence: 99%
“…The finding is that stock size influences market overreaction in the Kompas100 Index portfolio. Pandey, Sehgal, Mohapatra, and Samanta (2021) studied four Western European countries. The findings also fit this study: low-cap stocks provide greater returns than high-cap stocks.…”
Section: Discussionmentioning
confidence: 99%
“…In this approach, the econometric model plays a pivotal role in forecasting stock market indexes for a short duration. After India adopted LPG (liberalization, privatization, and globalization) in 1991 after that a lot of reforms took place and SEBI was set up in order to control securities market in a proper manner (Pandey et al, 2021). While we talk about stock market in the Indian context, we basically concentrate on Nifty and Sensex.…”
Section: Introductionmentioning
confidence: 99%