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A model based LSTM and graph convolutional network for stock trend prediction. [PDF]
PeerJ Comput SciRan X, Shan Z, Fan Y, Gao L.
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The Journal of Finance, 1989
Abstract This paper reports evidence documenting the presence of a number of irregularities in stock price behaviour of firms on the London Stock Exchange. The size effect is not only not the sole anomaly but is not even the most dominant one. Specifically, investment strategies based on dividend yield, PE ratios and share prices appear as profitable,
Marc Reinganum, Elroy Dimson
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Abstract This paper reports evidence documenting the presence of a number of irregularities in stock price behaviour of firms on the London Stock Exchange. The size effect is not only not the sole anomaly but is not even the most dominant one. Specifically, investment strategies based on dividend yield, PE ratios and share prices appear as profitable,
Marc Reinganum, Elroy Dimson
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Stock Market Anomalies: An Extreme Bounds Analysis
International Review of Financial Analysis, 2023We conduct the extreme bounds analysis (EBA) to evaluate the robustness or fragility of a range of stock market anomalies, using U.S. daily data from 1960 to 2023. The EBA is a large-scale sensitivity analysis, able to isolate the effects of potential data-mining or p-hacking under model uncertainty.
Kim, Jae H., Shamsuddin, Abul
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Explaining Apparent Stock Market Anomalies
The Journal of Wealth Management, 2002The article provides a discussion of the psychological and behavioral investor aspects responsible for the phenomenon of stock price momentum. Anchoring, herding, overconfidence, mental accounting, myopic loss aversion, regret aversion, prospect theory, over-reaction and under-reaction, representativeness, non-transitivity and question framing ...
Clint Tan Chee Leong +2 more
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Investing in Stock Market Anomalies
SSRN Electronic Journal, 2011This paper provides an explanation of investing in stock market anomalies in an expected utility paradigm. Classical selection rules fail to provide a preference for high expected return portfolios. The paper utilizes the almost dominance rules to examine the practice of investing in size, book-to-market, momentum, short-term and long-term reversal ...
Turan G. Bali +2 more
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2014
This chapter provides a summary of the most important stock market anomalies, i.e., the weekend effect, the January effect, the turn-of-the-month and holiday effect, the S&P 500 effect, trading by insiders, the momentum of industry portfolio, home bias, the Value Line enigma and the expiry of IPO lockups.
Marcus Schulmerich +2 more
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This chapter provides a summary of the most important stock market anomalies, i.e., the weekend effect, the January effect, the turn-of-the-month and holiday effect, the S&P 500 effect, trading by insiders, the momentum of industry portfolio, home bias, the Value Line enigma and the expiry of IPO lockups.
Marcus Schulmerich +2 more
openaire +1 more source