Market Anomalies25 Aug 2010
There are three common market anomalies in capital market such as:
Small firm effect
January is the time when the company should report the yearly financial statement to stockholder. Therefore, some company dress the financial statement
In January, the rate of small firm stock return is usually higher than the other month.
Book to Market Ratio
Book Market ratio is a ratio that measure book value relative to market. According to the study, the higher book market ratio, the higher return.
The stock which has good performance in the past year does not guarantee that the stock has good performance in future. In long term horizon, the stock is reversals to its performance. If we can predict it exactly, we can get benefit from the stock.
The neglected-firm effect and liquidity effect
It is difficult to find information about infamous company. Some people tend to neglect small firm information.