Global market inefficiencies

Bartram, Söhnke M.; Grinblatt, Mark

doi:10.1016/j.jfineco.2020.07.011

Cited by 50 publications

(5 citation statements)

References 78 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The anonymous returns by gross profitability and C/P imply the inefficiency of the Thai market. As in Bartram & Grinblattcd (2020), emerging markets are less efficient in incorporating widely available fundamental information. Market efficiency can be improved by implementing measures for more effective information flow, trading technology, and regulatory governance (Tiwari et al, 2019).…”

Section: Resultsmentioning

confidence: 99%

Empirical evidence of profitability anomaly in the Thai stock market

Kakinuma¹

2020

Journal of International Studies

View full text Add to dashboard Cite

This study presents empirical evidence of profitability anomaly in the Stock Exchange of Thailand. The effects of gross profitability, operating profitability, and cash flow-to-price (C/P) on the subsequent stock returns are examined using the data from 2002 to 2019. The results of Fama-Macbeth (1973) regression and Carhart (1997) four-factor model indicate that gross profitability and C/P have significant explanatory power for future returns but not operating profitability. Further analysis confirms that gross profitability-sorted portfolio generates the largest risk-adjusted return and C/P-sorted portfolio presents the best consistency to outperform the market. Investing in the portfolios consisted of stocks with high gross profitability and C/P provides protection from the market downside.

show abstract

Section: Resultsmentioning

confidence: 99%

Empirical evidence of profitability anomaly in the Thai stock market

Kakinuma¹

2020

Journal of International Studies

View full text Add to dashboard Cite

show abstract

“…The study concludes that global equity markets are inefficient, especially in countries with market frictions that deter arbitrageurs (Bartram & Grinblatt, 2021). The study by Hanauer et al (2022) applies linear regression (LR) and tree-based machine learning (ML) methods to estimate the monthly peer-implied fair values of European stocks based on 21 accounting variables, inspired by Bartram and Grinblatt (2021). The study compares the performance of trading strategies based on deviations from fair value using LR and ML models, and measures their risk-adjusted returns (alpha).…”

Section: Moroccomentioning

confidence: 97%

“…The study by Bartram and Grinblatt (2021) explores global market inefficiencies by using pointin-time accounting data to estimate the monthly fair values of more than 25,000 stocks from 36 countries. The study constructs a trading strategy based on the deviations from fair value and measures its risk-adjusted returns (alpha) across different regions and markets.…”

Section: Moroccomentioning

confidence: 99%

“…The study also finds that the alpha is positively related to the country's trading costs, Raúl Daniel Navas / Ana Paula Matias Gama / Sónia Ricardo Bentes but still exceeds the institutional trading costs. The study concludes that global equity markets are inefficient, especially in countries with market frictions that deter arbitrageurs (Bartram & Grinblatt, 2021). The study by Hanauer et al (2022) applies linear regression (LR) and tree-based machine learning (ML) methods to estimate the monthly peer-implied fair values of European stocks based on 21 accounting variables, inspired by Bartram and Grinblatt (2021).…”

Section: Moroccomentioning

confidence: 99%

“…These are the main components for estimating the intrinsic value of the firm as reflected in the stock price. In accounting FA, observers examine detailed accounting data from financial statements to improve their understanding of how efficiently and effectively a firm can generate earnings over time, as well as its potential to grow and convert the earnings into free cash flows (Bartram & Grinblatt, 2021;Bradbury et al, 2021;Dorantes Dosamantes, 2013).…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

The relevance of using accounting fundamentals in the Euronext 100 index

Daniel Navas,

Matias Gama,

Ricardo Bentes

2023

RBGN

View full text Add to dashboard Cite

Purpose -The purpose of this research is to investigate whether using an accounting fundamental strategy can provide valuable information about the value of a business and generate positive excess buy-and-hold returns on stocks in the Euronext 100 index. Theoretical framework -The theoretical framework of the study is based on the combination of valuation theory and accounting research. We rely on fundamental analysis as a stock valuation method, which involves looking at both quantitative and qualitative information in a company's economic and financial records.Design/methodology/approach -We examine the relevance of growth and earnings response coefficients, as well as Piotroski's F-scores and Lev and Thiagarajan's L-scores in predicting future stock returns. The analysis covers the years 2000 to 2020.Findings -The study finds that accounting fundamental signals provide value-relevant information to investors and have a significant and positive relationship with future buy-and-hold market returns, resulting in high-scoring portfolios achieving significant average annual market excess returns. Practical & social implications of research -The results of the study have practical implications for investors who use fundamental analysis as an investment strategy. The results indicate that accounting fundamentals provide value-relevant information to investors and can lead to positive excess buy-and-hold returns.Originality/value -The study contributes to the understanding of the role of fundamentals in firm valuation and provides fresh insights into binary models and fundamental analysis applied to European markets. In addition, the study tests the robustness of fundamental strategies using fixed effects regression analysis.

show abstract

Prescriptive Analytics Techniques: Theory and Applications in Finance

Artzi

2022

Financial Data Analytics

View full text Add to dashboard Cite

Global market inefficiencies

Cited by 50 publications

References 78 publications

Empirical evidence of profitability anomaly in the Thai stock market

Empirical evidence of profitability anomaly in the Thai stock market

The relevance of using accounting fundamentals in the Euronext 100 index

Prescriptive Analytics Techniques: Theory and Applications in Finance

Contact Info

Product

Resources

About