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Market anomalies in the United State...

AL-Rjoub, Samer Abdel Muhdi.

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Market anomalies in the United States stock market: New evidence.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Market anomalies in the United States stock market: New evidence./
作者:	AL-Rjoub, Samer Abdel Muhdi.
面頁冊數:	212 p.
附註:	Adviser: Hassan Kabir.
Contained By:	Dissertation Abstracts International63-08A.
標題:	Business Administration, Banking. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3061354
ISBN:	0493771182

Market anomalies in the United States stock market: New evidence.
AL-Rjoub, Samer Abdel Muhdi.

Market anomalies in the United States stock market: New evidence. - 212 p.

Adviser: Hassan Kabir.

Thesis (Ph.D.)--University of New Orleans, 2002.

This dissertation empirically investigates five interrelated issues of market anomalies in the U.S. stock and futures markets. The first essay examines the size reversal in U.S. stock returns using a dynamic market model approach; the second essay is an extensive empirical investigation of the weekend effect in the U.S. stock returns; the third essay examines the turn of the year effect in the U.S. futures markets using bootstrap techniques; the forth essay explains the size effect reversal documented in the first essay; the fifth essay is an extensive empirical investigation of a possible consequence of the size effect reversal on a related anomaly.

ISBN: 0493771182Subjects--Topical Terms:

1018458
Business Administration, Banking.

Market anomalies in the United States stock market: New evidence.
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100 1 $a AL-Rjoub, Samer Abdel Muhdi. $3 1257457
245 1 0 $a Market anomalies in the United States stock market: New evidence.
300 $a 212 p.
500 $a Adviser: Hassan Kabir.
500 $a Source: Dissertation Abstracts International, Volume: 63-08, Section: A, page: 2959.
502 $a Thesis (Ph.D.)--University of New Orleans, 2002.
520 $a This dissertation empirically investigates five interrelated issues of market anomalies in the U.S. stock and futures markets. The first essay examines the size reversal in U.S. stock returns using a dynamic market model approach; the second essay is an extensive empirical investigation of the weekend effect in the U.S. stock returns; the third essay examines the turn of the year effect in the U.S. futures markets using bootstrap techniques; the forth essay explains the size effect reversal documented in the first essay; the fifth essay is an extensive empirical investigation of a possible consequence of the size effect reversal on a related anomaly.
520 $a While addressing these issues, these essays account for: (1) sample selection bias; (2) the effects of market microstructure on measured abnormal return (such as nonsynchronous trading and transaction costs); (3) the role of measurement issues; and (4) the interrelations between different anomalies.
520 $a Several new results have emerged; we find that: (1) the size premium turned into a discount in the eighties and became negative or insignificant in the nineties; (2) the small firm-turn-of-the-year effect is weaker in the years after it was made famous in the academic literature; (3) the riskiness of small (large) firms decreases (increase) over time; (4) the well known Monday effect reverses in January after controlling for firm size. Mondays in the first week happen to have the highest average returns and Fridays the lowest; (5) the January effect and the turn-of-the-year effect do not exist for the S&P500 futures contract, the Russell/S&P500 futures spread and Russell 2000; (6) the bias in beta estimates induced by infrequent trading appear large enough to explain the difference between the mean daily return of large and small firms; and finally (7) we conclude that the recent reversal of the size-effect is partially responsible for the weakening of the January effect in recent years. As a final word, we do not see any support for the use of size as a risk factor in asset pricing.
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791 $a Ph.D.
792 $a 2002
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3061354