The Relative Efficiency of Various Portfolios: Some Further Evidence: Discussion

Banz, Rolf W.

doi:10.2307/2327385

Cited by 16 publications

(7 citation statements)

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“…Both a firm's size and book-to-market as well as other variables (such as momentum) are important factors in describing average returns (e.g., Banz, 1980;Fama and French, 1992; Carhart, 1997; among others). The vast majority of these analyses, however, focus on equity returns.…”

Section: The Risk-return Tradeoff Of Asset Returnsmentioning

confidence: 99%

The volatility of a firm's assets and the leverage effect

Choi

Richardson

2016

Journal of Financial Economics

126

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Section: The Risk-return Tradeoff Of Asset Returnsmentioning

confidence: 99%

The volatility of a firm's assets and the leverage effect

Choi

Richardson

2016

Journal of Financial Economics

126

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“…Many researchers believe that the pricing model of capital assets is the correct model. In the real world, beta is also related to efficiency, and to some extent has confirmed the initial empirical evidence for this theory [4]. On the other hand, studies in many countries have challenged the empirical evidence for this theory with significant challenges, claiming that beta, as a systematic risk indicator, has lost the description of the relationship between risk and return in the long run.…”

Section: Introductionmentioning

confidence: 75%

The Effect of Real Investors on the Inefficiency of Stock Returns of Tehran Stock Exchange

Ansari¹,

Jafari²

2020

EBM

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Fluctuations in stock returns and the factors that affect them are controversial in financial research. Institutional investors, as a group of investors, play an important role in the economic development of the capital market through their access to huge financial resources. But real investors may not be able to achieve the return and profitability due to the scarcity of their financial resources. Accordingly, the study of the role of real investors in the volatility of stock returns is very important. The present study aims to find evidence for the relationship between real investors in open volatility of ten stocks. Few studies of financial market irregularities and the behavior of capital market investors have focused on the results. By challenging the efficient market hypothesis, it is clear that real investors raise the stock price of companies that have been successful over time. The real price and the price of unsuccessful stocks are lower than the real price, but over time the market realizes its mistake and the prices return to equilibrium. Acceptance of stock returns is irregular (Tehran Stock Exchange). In order to achieve the research goal, ten-year information (2009-2019) of 140 companies by judicial sampling method was studied. This research is applied in terms of purpose and testing the hypotheses of logit and cross-sectional regression. Fama and French three-factor model and Carhart's four-factor model were used. The results indicate that the relationship between stock price jump and real investors has been explained and finally practical suggestions have been provided.

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“…The long-standing belief that prices did not have memories (Bachelier, 1964;Fama, 1970) was put on test by the innovations in market anomalies (Basu, 1977;Banz, 1980;De Bondt and Thaler, 1985;Jegadeesh, 1990). Today, those anomalies are often considered normal phenomena, considering the changes in human perception towards financial planning and management.…”

Section: Guest Editorialmentioning

confidence: 99%

Guest editorial

Rashid

Paltrinieri

2018

IMEFM

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The Relative Efficiency of Various Portfolios: Some Further Evidence: Discussion

Cited by 16 publications

References 0 publications

The volatility of a firm's assets and the leverage effect

The volatility of a firm's assets and the leverage effect

The Effect of Real Investors on the Inefficiency of Stock Returns of Tehran Stock Exchange

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