Value Premium Anomaly | Keyword Rankings

Google Keyword Rankings for : value premium anomaly

1 Human instincts drive the Value premium - Robeco
https://www.robeco.com/us/insights/2022/02/human-instincts-drive-the-value-premium.html
Risk alone cannot explain Value anomaly; Hardwired human behavior gives rise to Value; Strong hands are required to harvest Value premium.
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2 7 Market Anomalies Every Investor Should Know - Investopedia
https://www.investopedia.com/articles/financial-theory/11/trading-with-market-anomalies.asp
Market anomalies are mysterious and often unpredictable. These seven tradeable market anomalies may work in a savvy investor's favor.
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3 Evidence from the JSE in the Post-Global Financial Crisis Era
https://search.proquest.com/openview/d540de978fbe8e24488db2e789f706bc/1?pq-origsite=gscholar&cbl=2026366&diss=y
The value premium is an anomaly of financial markets insofar as it enables portfolio managers to earn excess returns which cannot be predicted by the ...
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4 What Drives The Value Premium? - University of Notre Dame
https://www3.nd.edu/~pschultz/Phalippou.pdf
It is concluded that the value premium is a small and concentrated phenomenon that cannot be readily reconciled with the “rational” paradigm. Nonetheless, as ...
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5 Value Anomaly or Value Premium? An Innovative Approach to ...
http://www.pbr.co.in/2020/2020_month/June/1.pdf
Keywords: Value stocks, Growth stocks, Value anomaly, Price-to- ... support it by designating it as 'value premium'; whereas the.
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6 INVESTIGATING THE RISK ARGUMENT FOR THE VALUE ...
https://www.ivey.uwo.ca/media/3775538/investigating_the_risk_argument_for_the_value_premium.pdf
Keywords: Value Premium, Value Investing, Growth Investing, ... the value premium remains an anomaly to the efficient market hypothesis.
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7 Downside risk and the value anomaly | CEPR
https://cepr.org/voxeu/columns/downside-risk-and-value-anomaly
The value anomaly – higher average returns on value as opposed to growth stocks – is a robust phenomenon on equity markets around the world.
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8 Is The Value Premium Smaller Than We Thought? -
https://alphaarchitect.com/2022/02/is-the-value-premium-smaller-than-we-thought-2/
What many investors are not aware of is that the first studies documenting that value was an anomaly for the single factor Capital Asset ...
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9 Full article: Role of size and risk effects in value anomaly
https://www.tandfonline.com/doi/full/10.1080/23322039.2020.1838694
Portfolios of companies with high book-to-market (BTM) ratio (low Price-To-Book (PB) ratios, Value firms) outperform those with companies with low BTM ratio ( ...
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10 The Value Premium - JSTOR
https://www.jstor.org/stable/3694834
The value anomaly arises naturally in the neoclassical framework with rational e pectations. Costly reversibility and countercyclical price of risk cause ...
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11 The forward premium anomaly is not as bad as you think
https://econ.duke.edu/~boller/Published_Papers/jimf_00.pdf
However, it is unclear how this dependence will translate into the value of the estimated slope coefficient from the anomalous regression in Eq. (7). As ...
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12 What Drives Anomaly Returns? - Events
https://finance.darden.virginia.edu/wp-content/uploads/2018/05/WhatDrivesAnomalyReturns_NoIntAppdx.pdf
Theories of anomalies propose that the properties of investor beliefs and firm cash flows vary with firm characteristics. The well'known value premium provides ...
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13 What Drives Anomaly Returns?
https://www.aeaweb.org/conference/2018/preliminary/paper/8ed9hFNR
decompose anomaly return variance into cash flow and discount rate news. This decompo' ... The well'known value premium provides a useful illustration.
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14 What Drives Anomaly Returns? - Wiley Online Library
https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/jofi.12876
market returns, systematic cash flow news drives the returns of anomaly ... nations of the value premium based on firms' dynamic investment decisions.
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15 Value (Book-to-Market) Factor - QuantPedia
https://quantpedia.com/strategies/value-book-to-market-factor/
Book-to-Market wasn't even considered as a market anomaly at the beginning ... that link value factor premium to liquidity and growth risk and show that the ...
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16 The value premium and investors' appetite for risk
https://www.sciencedirect.com/science/article/abs/pii/S1059056022001745
M. Qadan et al. The short trading day anomaly. Journal of Empirical Finance. (2016).
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17 The Other Side of Value: The Gross Profitability Premium
http://rnm.simon.rochester.edu/research/OSoV.pdf
most earnings related anomalies, and a wide range of seemingly unrelated profitable trading strategies. Keywords: Profitability, value premium, ...
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18 What Drives Anomaly Returns?
https://weatherhead.case.edu/document-upload/docs/1474.pdf
decomposing anomaly portfolio returns into shocks to the underlying firmsncash flows ... The well&known value premium provides a useful setting for ...
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19 Stock Market Anomalies | Financial Behavior - Oxford Academic
https://academic.oup.com/book/11905/chapter/161102272
› book › chapter
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20 Size and Value Anomalies - ResearchGate
https://www.researchgate.net/publication/315765954_Size_and_Value_Anomalies
There is still no consensus in the literature about whether the value premium represents a compensation for some risk or should be ...
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21 The conditional CAPM does not explain asset-pricing anomalies
https://faculty.tuck.dartmouth.edu/images/uploads/faculty/jonathan-lewellen/Capm.pdf
asset-pricing anomalies like momentum and the value premium. We also provide a simple new test of the conditional CAPM using direct estimates of conditional ...
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22 What Drives Anomaly Returns? | Columbia Business School
https://www0.gsb.columbia.edu/faculty/ptetlock/papers/Lochstoer_Tetlock_Aug19_What_Drives_Anomaly_Returns.pdf
market returns, systematic cash flow news drives the returns of anomaly portfolios and ... value premium based on firms' dynamic investment decisions.
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23 Financial Market Anomalies - Wharton Finance
https://finance.wharton.upenn.edu/~keim/research/NewPalgraveAnomalies(May302006).pdf
weighted market portfolio, SmBt is a monthly size premium (Small stock return - Large stock return), HmLt is a monthly value premium (High B/P return - Low ...
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24 Investing in Disappearing Anomalies ∗ - Bank of Canada
https://www.bankofcanada.ca/wp-content/uploads/2010/09/pomorski.pdf
Zhang (2002) predicts business-cycle effects in the value premium that should cause it to disappear at times, only to reappear later in full force.
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25 Value Stocks: Trapped or Spring-Loaded? | Northern Trust
https://www.northerntrust.com/united-states/insights-research/2020/investment-management/value-stocks
This has caused increased skepticism that the value premium can “work” in ... or groups of stock, and the value premium is one such anomaly.
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26 What Drives Anomaly Returns? | Berkeley Haas
https://haas.berkeley.edu/wp-content/uploads/WhatDrivesAnomalyReturns_042319_Berkeley.pdf
Theories of anomalies propose that investor beliefs and firm cash flows vary with firm charac' teristics. The well'known value premium provides a useful ...
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27 MUTUAL FUND RETURNS AND THE REVERSAL OF THE ...
https://www.igbr.org/wp-content/uploads/articles/GJAF_Vol_3_No_1_2019-pgs-16-25.pdf
Size, price/earnings (PE), and price-to-book (P/B) anomalies where stocks with ... Findings show mutual funds weighted toward size and value premiums have ...
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28 Exploring Asset Pricing Anomalies | NBER
https://www.nber.org/reporter/2014number1/exploring-asset-pricing-anomalies
To understand the value premium, I also develop a dynamic, quantitative investment model in which asymmetric adjustment costs of capital and the ...
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29 ANOMALIES AND MARKET EFFICIENCY - Bill Schwert
https://www.billschwert.com/hbfech15.pdf
of the well-known anomalies in the finance literature do not hold up in ... They found that the apparent premium associated with value stocks is similar.
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30 EXPLANATIONS FOR THE MOMENTUM PREMIUM
https://www.aqr.com/-/media/AQR/Documents/Insights/White-Papers/Explanations-for-the-Momentum-Premium.pdf
Much like momentum, stories for the size and value premium range from risk-based ... Fama, E.F. and French, K.R. “Dissecting Anomalies.
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31 The Foundations of Factor Investing - Hanken
https://www.hanken.fi/system/files/2020-09/4._paulo_maio_-_financeday2020.pdf
The total risk premium of a stock (or a portfolio), E(R ... market (BM, value-growth) anomaly (Rosenberg, Reid, and Lanstein, 1985).
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32 Can the FSCORE add value to anomaly-based portfolios? A ...
https://link.springer.com/article/10.1007/s11408-021-00400-9
(1994) find that the value premium stems from investors' tendency to extrapolate past growth too far in the future, resulting in ...
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33 Sentiment-Scaled CAPM and Market Mispricing
https://digitalcommons.odu.edu/cgi/viewcontent.cgi?article=1036&context=finance_facpubs
conditional CAPM, market anomalies, security market line, state beta, stochastic discount factor, time‐varying risk premium, value premium.
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34 Market Anomalies - thisMatter.com
https://thismatter.com/money/investments/market-anomalies.htm
Market anomalies are market patterns that do seem to lead to abnormal returns more ... fundamental analysis does have some value for the individual investor.
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35 What Opportunities does the Low-Risk-Anomaly offer?
https://www.quoniam.com/en/article/low-risk/
The data from Robert Shiller on the left side of Figure 1 shows that the real equity risk premium is around 3% – a value well below the long-term average of ...
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36 Value vs. Glamour Stock Returns and the Value Premium
https://www.fep.up.pt/conferencias/pfn2006/Conference%20Papers/425.pdf
Keywords: Value Stocks, Glamour Stocks, Value Premium, Market Efficiency, ... should produce extra returns, and once risk is taken into account the anomaly.
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37 The Value Premium: Rational, Irrational or Random
https://profs.degroote.mcmaster.ca/ads/balvers/MFBLACK.pdf
'value premium' (the difference between returns on value stocks and returns ... Berk, J. “A Critique of Size Related Anomalies”, Review of Financial Studies ...
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38 Analysis of Asset Growth Anomaly on ... - Perbanas Journal
https://journal.perbanas.ac.id/index.php/jebav/article/view/515
Novy-Marx, Robert, 2013, The other side of value: The gross profitability premium, Journal of Financial Economics 108, 1–28.
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39 Does interest rate exposure explain the low-volatility anomaly?
http://wp.lancs.ac.uk/fofi2018/files/2018/03/FoFI-2017-0003-Ivo-Kuiper.pdf
(2014) find that these portfolios benefit from the small cap and value premium. Ang et al. (2006) however show that the phenomenon cannot be fully explained by ...
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40 Testing the Insider Trading Anomaly in FTSE-350 - PMC - NCBI
https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8886886/
Anomaly literature has become one of the largest strands of ... when they are measured with value-weights instead of equal-weights.
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41 The Value Anomaly – Why Dirt Cheap Stocks Outperform
https://ca.finance.yahoo.com/news/value-anomaly-why-dirt-cheap-000000086.html
One reason why the value anomaly persists is because of crowd psychology. Psychological studies have shown that people are strongly influenced ...
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42 an explanation of financial market anomalies: risk-based or ...
http://www.theibfr2.com/RePEc/ibf/gjbres/gjbr-v11n2-2017/GJBR-V11N2-2017-3.pdf
Apart from describing the cause of value premium, another important implication of the misprice hypothesis is highlighting the effect of firm profit on investor ...
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43 A Deep Dive into the Low Beta Premium | Portfolio for the Future
https://caia.org/blog/2022/04/18/deep-dive-low-beta-premium
... the size and value premiums were “discovered.” The low-volatility anomaly has been shown to exist in equity markets around the world.
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44 Low-volatility anomaly - Wikipedia
https://en.wikipedia.org/wiki/Low-volatility_anomaly
In investing and finance, the low-volatility anomaly is the observation that low-volatility stocks have higher returns than high-volatility stocks in most ...
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45 The Accrual Anomaly: Risk or Mispricing? - UCI Sites
https://sites.uci.edu/dhirshle/files/2012/03/The-accrual-anomaly-risk-or-mispricing.pdf
to suggest that the accrual anomaly reflects limited investor attention. ... nal risk premium. ... mon equity plus preferred stock par value, or asset.
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46 INVESTOR SENTIMENT AND EXPECTED RETURNS
https://thesis.eur.nl/pub/43322/Oord-R.T.-van-den-386902-.pdf
stock market anomalies. The value premium is an example of a stock market enigma that has often been classified as the result of persisting mispricing.
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47 Information revelation and ambiguity in asset markets
https://www.chapman.edu/esi/wp/porter-goodnewsbadnews.pdf
In real world situations the fundamental value of an asset is ambiguous. ... finance models putting forward the existence of financial anomalies such as the ...
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48 NONLINEARITY AND THE FORWARD PREMIUM ANOMALY
https://clutejournals.com/index.php/JBER/article/download/2451/2498
The forward premium anomaly refers to the finding that changes in spot ... lagged value of the time series itself, and the threshold variable c helps ...
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49 One anomaly to explain them all
https://www.sauder.ubc.ca/sites/default/files/2020-01/One%20anomaly%20to%20explain%20them%20all.pdf
its existence, the high observed returns on many anomaly portfolios ... growth firms and high growth option firms; the value premium puzzle.
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50 Testing Factor-Model Explanations of Market Anomalies
http://www.kentdaniel.net/papers/published/cfr_12.pdf
This table presents the sample correlation matrix of a subset of the factors that have been proposed in the literature as explanations for the value premium ( ...
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51 Anomaly or Possible Risk Factor? Simple-To-Use Tests
https://bfi.uchicago.edu/wp-content/uploads/2022/03/BFI_WP_2022-43.pdf
of factors are anomalies, and thus indicate that the main empirical finding holds ... Ang and Chen (2007) document the value premium is.
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52 Leverage and the Beta Anomaly - Harvard Business School
https://www.hbs.edu/ris/Publication%20Files/Leverage%20and%20the%20Beta%20Anomaly_375b0691-6579-47d3-8184-01147bc726ce.pdf
where rf is the risk-free rate, rp is the market risk premium, and γ <0 ... debt beta can be seen to be driven by the increasing value loss in default.
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53 Value vs growth investing: A historical overview
https://am.jpmorgan.com/hu/en/asset-management/institutional/insights/portfolio-insights/value-vs-growth-investing/
Read more about the historical overview of value vs growth investing. ... In fact, the period from mid 2007 to late 2020 was an anomaly in ...
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54 The Mispricing Return Premium
https://www.anderson.ucla.edu/documents/areas/fac/finance/12-07.pdf
not fundamental values, such as market liquidity or sentiment, will affect the volatility of mispricing and hence the mispricing return premium.
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55 Historical Stock Market Anomalies - Investor Home
http://www.investorhome.com/anomaly.htm
Historical Stock Market Anomalies - Long term market ... We propose that the value premium is simply beyond the reach of investors."
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56 Value and Momentum: Everywhere, But Not All the Time
https://www.spglobal.com/marketintelligence/en/documents/sp-global-market-intelligence-value-momentum-january-2019.pdf
was obtained from the S&P Capital IQ Premium Financials database. 6. Conclusions. Value and Momentum strategies have separately rewarded investors with ...
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57 Swedroe: Fixed Income's Low Risk Anomaly - ETF.com
https://www.etf.com/sections/index-investor-corner/21862.html
... equity or the small-cap premium being anomalies, there are many behavioral finance people who believe the value premium is an anomaly.
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58 2 Where Do Returns Come From? Risks, Expected Returns ...
https://bookdown.org/adam_aiken/advinv/factors.html
We then get into the heart of this chapter, risk factors (or premiums). ... For example, the “value” strategy described below has done very poorly recently.
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59 Analysis of Asset Growth Anomaly on Cross ... - SSRN Papers
https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2648810_code1768115.pdf?abstractid=2640839
valued by investors in the market, in which stock returns are negatively ... is inefficient; rather market anomalies are manifestation of risk premiums.
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60 Managing the risk of the “betting-against-beta” anomaly
https://blog.iese.edu/financeseminars/files/2017/09/Barroso.pdf
Similar strategies for the market, size, value, profitability, ... show that beta commands a reasonable risk premium in pessimistic periods and.
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61 One anomaly to explain them all - Northern Finance Association
https://portal.northernfinanceassociation.org/viewp.php?n=2240014112
to the momentum strategy (i.e. the momentum premium) is persistently ... growth firms and high growth option firms; the value premium puzzle.
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62 Time‐series and cross‐sectional momentum in anomaly returns
https://www.lehigh.edu/~xuy219/research/ANmom.pdf
The bottom panel presents the results for value‐weighted anomaly returns. ... size, value, and momentum factors or the persistence in factor premiums.
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63 Distress Anomaly and Shareholder Risk: International Evidence
https://finance.business.uconn.edu/wp-content/uploads/sites/723/2014/08/IntDistress1.pdf
for the value premium, several academic studies have examined the performance of financially distressed stocks (see, for example, Dichev (1998), ...
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64 Anomalies: The Law of One Price in Financial Markets
http://www-personal.umich.edu/~kathrynd/JEP.Anomalies_LOP.pdf
result qualifies as an anomaly if it is difficult to rationalize or if ... premium, meaning that the price was more than three times the asset value.
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65 THE QUALITY FACTOR - Norges Bank Investment Management
https://www.nbim.no/contentassets/0660d8c611f94980ab0d33930cb2534e/nbim_discussionnotes_3-15.pdf
ham, an early pioneer of value investing, believed that quality and value ... er market anomalies, this premium may be due to a variety of ...
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66 Understanding the Performance of the Equity Value Factor
https://research-center.amundi.com/files/nuxeo/dl/f8199350-a146-4000-88f6-fcd8b9a479bb
Different explanations compete to elucidate the value premium or the value anomaly. The first explanation is behavioral, and postulates that investors may ...
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67 Risk factors and capital market anomalies - mediaTUM
https://mediatum.ub.tum.de/doc/1190500/1190500.pdf
Time-series characteristics of implied market, size, and value premiums outside the U.S. ... one of the “big three” anomalies in empirical asset pricing.
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68 Market Anomalies: Small-Firm and Value Effects - Module 3
https://www.coursera.org/lecture/investments-fundamentals/market-anomalies-small-firm-and-value-effects-1knv8
Okay, so now we talked about the small firm effect. Let's talk about the famous value premium. If you're talking about the value premium, you certainly have to ...
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69 Investor Gambling Preference and the Asset Growth Anomaly
https://www.efmaefm.org/0efmameetings/efma%20annual%20meetings/2018-Milan/papers/EFMA2018_0183_fullpaper.pdf
and value-weighted monthly returns for each portfolio and define the AG premium as the difference in returns between highest and lowest ...
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70 Examining Asset Pricing Anomalies: Evidence from Europe
https://journals.sagepub.com/doi/abs/10.1177/22785337211025712
... five important asset pricing anomalies, namely, size, value, momentum, ... The 'Size Premium' in equity markets: Where is the risk?
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71 Anomalies in Option Pricing: The Black- Scholes Model ...
https://www.bostonfed.org/-/media/Documents/neer/neer296b.pdf
The price paid for an option is called the premium. ... Each index futures contract is for $100 times the value of the index. All stock index options traded ...
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72 Does Financial Distress Risk Drive the Momentum Anomaly?
https://dspace.lib.cranfield.ac.uk/bitstream/handle/1826/7693/Does_Financial_Distress_Risk_Drive.pdf?sequence=1&isAllowed=y
higher returns to small stocks and value stocks to firms being relatively distressed. ... positive or negative risk premium on distressed stocks.
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73 Equity return anomalies and their causes
https://research.macrosynergy.com/equity-return-anomalies-and-their-causes/
The behavioral side argues that value premium is caused by overreaction of past performance. A contrarian strategy that takes advantage of ...
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74 Interacting Anomalies | KARSTEN MÜLLER
https://www.karstenmueller.com/uploads/1/3/3/9/133963673/interactinganomalies.pdf
gains with major anomalies, such as size or value. ... “The Other Side of Value: The Gross Profitability Premium”.
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75 Does It Pay to Bet Against Beta? On the Conditional ...
https://tevgeniou.github.io/EquityRiskFactors/bibliography/ConditionalBetaFactor.pdf
ically with the market risk premium or market volatility (see Grant (1977), ... performance of portfolios formed on past values of equity beta. Section I.A.
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76 Time Varying Behavior of the Value Anomaly
https://rijbr.in/index.php/1/article/download/416/226
This study attempts to study the reason for the value premium by controlling the return differentials for systematic risk and size of the stocks in the ...
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77 Size and Book-to-Market Factors in Returns
https://digitalcommons.usu.edu/cgi/viewcontent.cgi?article=1689&context=gradreports
Fama and French (Multifactor Explanations of Asset Pricing Anomalies, The ... adding size and value factors in addition to the market risk factor in CAPM.
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78 A behavioral explanation of the value anomaly based on time ...
https://ideas.repec.org/a/eee/jbfina/v37y2013i7p2367-2377.html
We propose an explanation based on behavioral biases: the dynamics of the value anomaly reflect the increased speed of return reversals subsequent to ...
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79 Forward Premium Anomaly? - Queen Mary University of London
https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2005/items/wp543.pdf
The forward premium anomaly refers to the fact that estimation of (3) has generally led to a significant and negatively valued slope coefficient.
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80 Calendar Anomalies: The Case of International Property Shares
https://assets-eu-01.kc-usercontent.com/189a8365-d1d0-01d7-8ac1-495bf6c87686/43a58fc2-75c1-41cf-9d7d-43257555fe69/Article%20-%20Calendar%20Anomalies.pdf
1 Dimson and Marsh (1999) reveal that the historical size premium of 6 ... weighted and value-weighted market return indices constructed by the Center for.
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81 The Short of It: Investor Sentiment and Anomalies
http://www.econ.yale.edu/~shiller/behfin/2011-04-11/Stambaugh.pdf
For each of the 11 anomalies, we obtain value-weighted portfolio returns within ... risk premium would be correlated with some aspect of ...
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82 Size Premium - How it Affects Stock Market Returns
https://regentatlantic.com/blog/size-premium-how-it-affects-stock-market-returns/
The prevailing theory to explain the anomaly is that small companies are riskier and investors reasonably expect that the more risk they ...
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83 Pakistan: a study of market's returns and anomalies
https://www.emerald.com/insight/content/doi/10.1108/JEFAS-06-2021-0098/full/html
(2008), “Size and value premium in Karachi stock exchange”, The Lahore Journal of Economics, Vol. 13 No. 2, pp. 1-26. OECD ( ...
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84 What are market anomalies? | IG Australia
https://www.ig.com/au/trading-strategies/what-are-market-anomalies-180803
Perhaps one of the most well-known fundamental anomalies is the value effect. This anomaly refers to the tendency of stocks with ...
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85 What Drives Anomaly Returns? - CBS
https://www.cbs.dk/files/cbs.dk/paper_larslochstoer_0.pdf
returns into cash flow and discount rate shocks helps distinguish alternative explanations of anomalies. The well&known value premium provides a useful ...
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86 Research - Lu Zhang
https://theinvestmentcapm.com/research.html
Structurally estimating the investment CAPM | Lecture notes | YouTube (v) The value premium (2005). Journal of Finance. The first RBC model for the cross ...
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87 The Excess Returns of “Quality” Stocks: A Behavioral Anomaly
https://arxiv.org/pdf/1601.04478
1.2 Risk Premium or Behavioral Anomaly? ... the book to market ratio, taking the most recent market value and the last available book value ...
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88 Is the Value Premium Dead? - YouTube
https://www.youtube.com/watch?v=kYO7xrHhqsY
Feb 22, 2020
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89 Evidence from the Fundamental Value-to-Price Anomaly
https://www.readcube.com/articles/10.2139%2Fssrn.1108868
In this paper, we introduce a simple model that extends the argument proposed by Shleifer and Vishny on arbitrage risk and the value premium.
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90 Why quality stocks offer higher return and lower risk - Schroders
https://www.schroders.com/en/sysglobalassets/staticfiles/schroders/sites/americas/canada/documents/why-quality-stocks-offer-higher-return.pdf
sustainable return premium attached to Growth stocks has more recently ... The complementary role of Value and Quality does not appear to be spurious.
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91 The excess returns of “quality” stocks: a behavioral anomaly
https://www.risk.net/journal-of-investment-strategies/2461640/the-excess-returns-of-quality-stocks-a-behavioral-anomaly
The strategy's returns are measured per unit of gross value of the hedged portfolio. ... 1.2 Risk premium or behavioral anomaly?
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92 Do Analyst Earnings Beta Explain Growth Anomaly? - SMU InK
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1052&context=etd_coll
premium, value premium and return reversals. The question “Can this cashflow risk measure continue to explain asset growth anomaly?
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93 Information Risk and Momentum Anomalies - Business School
https://www.business.unsw.edu.au/About-Site/Schools-Site/banking-finance-site/Documents/C.Y.Hwang%20-%20Information%20Risk%20and%20Momentum%20Anomolies.pdf
premium that good news firms' investors demand relative to those of bad news firms, and ... the value-weighted average returns for each portfolio.
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94 What Exactly Is the Value Premium? - CBS News
https://www.cbsnews.com/news/what-exactly-is-the-value-premium/
There's an argument about whether the higher expected returns offered by value stocks is due to risk or investor behavior.
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95 Review on Efficiency and Anomalies in Stock Markets - MDPI
https://www.mdpi.com/2227-7099/8/1/20/htm
Finally, when EMH, anomalies and Behavioral Finance are used to explain the ... value anomaly; size effect; Disposition Effect; Equity Premium Puzzle; ...
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