search query: @indexterm decision rules / total: 36
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| Author: | Durham, J. B. |
| Title: | Sensitivity analyses of anomalies in developed stock markets |
| Journal: | Journal of Banking and Finance
2001 : AUG, VOL. 25:8, p. 1503-1541 |
| Index terms: | STOCK MARKETS DECISION RULES MARKETS BIAS |
| Language: | eng |
| Abstract: | This study uses extreme bound analysis (EBA) to evaluate the robustness of 15 stock-return anomalies given data covering 16 developed markets from May 1984 to March 1999. Two factors are sturdy according to the "extreme" decision rule in the panel design - DIP and momentum. Under a less stringent EBA criterion, long-run lagged returns, country risk, and the January effect are also robust. Time-series EBA for individual markets produces one robust result according to relaxed decision rules across a majority of cases - long-run government bond yields. This paper provides the substantial list of references on this subject. |
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