Can retail investors exploit stock market anomalies?

• Autores: Antonios Siganos
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 22, Nº. 7-9, 2012, págs. 537-547
• Idioma: inglés
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• Resumen

  • 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 following strategies: earnings/price, return/assets, price, asset growth, size, dividend/price and overreaction. Transaction cost is estimated when buying underlying shares and when selling short shares with Contracts For Difference (CFDs). Findings show that only the earnings/price strategy can enjoy net gains for small investors showing some evidence against stock market efficiency.