Review on Efficiency and Anomalies in Stock Markets
Abstract
:1. Introduction
2. Market Efficiency
2.1. Definition of Market Efficiency
2.2. Early Development in EMH
2.3. Recent Developments in Market Efficiency
2.4. EMH
2.4.1. Weak-Form Tests
2.4.2. Semi-Strong-Form Tests
2.4.3. Strong-Form Tests
2.5. Explaining Market Efficiency by Factor Models
2.5.1. Fama–French Three-Factor Model
2.5.2. Carhart Four-Factor Model
2.5.3. Fama–French Five-Factor Asset-Pricing Model
2.5.4. Factor Models in Chinese Markets
2.6. Explaining Market Efficiency in Subdividing Areas
3. Market Anomalies
3.1. Winner–Loser Effect/Reversal Effect
3.2. Momentum Effect
3.3. Calendar Anomalies—January Effect, Weekend Effect, and Reverse Weekend Effect
3.3.1. January Effect
3.3.2. Weekend Effect and Reverse Weekend Effect
3.4. Book-to-Market Effect/Value Anomaly
3.5. The Size Effect
3.6. Disposition Effect
3.7. Equity Premium Puzzle
3.8. Herd Effect and Ostrich Effect
3.9. Bubbles
3.9.1. The Internet
3.9.2. Derivatives
3.9.3. Feedback Models
3.9.4. Smart Money
3.9.5. The Media
3.9.6. Emotions and Sentiments
3.10. Volume and Volatility
3.11. Trading Rules and Technical Analysis
4. Behavioral Finance
4.1. Behavioral Finance and Market Efficiency
4.2. Overconfidence
4.2.1. Utility
4.2.2. Investors with Different Shapes in Their Utility Functions
4.2.3. Other Utility Functions
4.3. Portfolio Selection and Optimization
4.4. Stochastic Dominance
4.4.1. Stochastic Dominance for Risk-Averters and Risk-Seekers
4.4.2. Stochastic Dominance for Investors with (Reverse) S-Shaped Utility Functions
4.4.3. Almost Stochastic Dominance
4.4.4. Stochastic Dominance Tests and Applications
4.5. Risk Measures and Performance Measures
4.5.1. Mean Variance Rules
4.5.2. Sharpe Ratio
4.5.3. Mean–Variance Ratio
4.5.4. Omega Ratio
4.5.5. Economic Performance Measure
4.5.6. Other Risk Measures and Performance Measures
4.5.7. Applications of Risk Measures and Performance Measures
4.5.8. Indifference Curves
4.6. Two-Moment Decision Models and Dynamic Models with Background Risk
4.7. Diversification
4.8. Behavioral Models
4.8.1. Behavioral Models for Some Financial Anomalies
4.8.2. Other Behavioral Models
4.9. Unit Root, Cointegration, Causality, and Nonlinearity
4.10. Covariance and Copulas
4.11. Robust Estimation and Other Econometric Models/Tests
4.12. Anchoring and Adjustment
5. Conclusions
Author Contributions
Funding
Acknowledgments
Conflicts of Interest
References
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1 | Kahneman and Tversky (1979) and others call it value function, while we call it utility function. |
Kinds of Tests | Relevant Information Sets | Methodology | Literatures |
---|---|---|---|
Weak form | Past history of price | Filter tests, run tests, random-walk tests | Alexander (1961); Fama (1965a, 1965b); Fama and Blume (1966) |
Semi-strong form | Public information including past history of price | Event study | Fama et al. (1969); Ball and Brown (1968); Waud (1970); Scholes (1972) |
Strong form | All private and public information | Mutual fund performance | Jensen (1968) |
Kinds of Models | Factors in Models | Literatures |
---|---|---|
Fama–French Three-Factor Model | RMRF, SMB, and HML | Fama and French (1993) |
Carhart Four-Factor Model | RMRF, SMB, HML, and PR1YR | Carhart (1997) |
Fama–French Five-Factor Asset Pricing Model | RMRF, SMB, HML, and profitability and investment factors | Fama and French (2015) |
Chinese version Three-Factor Model | RMRF, SMB, and EP | Liu et al. (2019) |
Chinese version Four-Factor Model | RMRF, SMB, EP, and PMO | Liu et al. (2019) |
Chinese version Seven-Factor Model | RMRF, SMB, HML, profitability factors, investment factors, trading volume, and turnover rates factors | Li et al. (2019) |
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Woo, K.-Y.; Mai, C.; McAleer, M.; Wong, W.-K. Review on Efficiency and Anomalies in Stock Markets. Economies 2020, 8, 20. https://doi.org/10.3390/economies8010020
Woo K-Y, Mai C, McAleer M, Wong W-K. Review on Efficiency and Anomalies in Stock Markets. Economies. 2020; 8(1):20. https://doi.org/10.3390/economies8010020
Chicago/Turabian StyleWoo, Kai-Yin, Chulin Mai, Michael McAleer, and Wing-Keung Wong. 2020. "Review on Efficiency and Anomalies in Stock Markets" Economies 8, no. 1: 20. https://doi.org/10.3390/economies8010020
APA StyleWoo, K. -Y., Mai, C., McAleer, M., & Wong, W. -K. (2020). Review on Efficiency and Anomalies in Stock Markets. Economies, 8(1), 20. https://doi.org/10.3390/economies8010020