The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Financial Market Anomalies

  • Donald B. Keim
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_1958

Abstract

Financial market anomalies are cross-sectional and time series patterns in security returns that are not predicted by a central paradigm or theory. The focus here is on equity market anomalies including the size effect, value effect, serial correlation in returns and calendar-related patterns in returns related to month of the year and day of the week. Many of these patterns have persisted for decades, suggesting they are not evidence of market inefficiencies. Although transactions costs might preclude trading that would eliminate such patterns, it is possible that our benchmark models might be less than complete descriptions of equilibrium price formation.

Keywords

After-tax asset pricing models Bid-ask spread Capital asset pricing model Capital gains tax Cross section of stock returns Dividend yield effect Equity premium puzzle Financial market anomalies Informational efficiency Kuhn, T. Liquidity effect Measurement error Momentum effect Risk premia Size effect Taxation of income Time series patterns in security returns Value effect Weekend effect 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Donald B. Keim
    • 1
  1. 1.