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- W2990107780 abstract "Stock market anomalies are empirical findings thatcannot be explained by the widely-accepted financialtheories. It is important to study such anomaliesbecause understanding them can greatly improve ourunderstanding of financial markets. This bookstudies two of the most important anomalies inrecent history: the correlation between stockreturns and inflation and the predictability ofstock returns. Chapter 1 is an introduction. InChapter 2, I develop a generalized theoretical modeland utilize it to investigate the changing stockreturn-inflation relationship in the US. In Chapter3, I propose a new statistical test forautocorrelation that is particularly useful fortesting the recent behavioral models. When the testis applied to the data, contrary to the previousresearch, I find evidence supporting the behavioralmodels. In Chapter 4, I investigate the stockreaction to the market-wide information and findfurther evidence in support of the recent behavioralmodels. This book extends the literature, and shouldbe useful to investment practitioners andresearchers in empirical asset pricing andbehavioral finance." @default.
- W2990107780 created "2019-12-05" @default.
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- W2990107780 date "2008-09-04" @default.
- W2990107780 modified "2023-09-27" @default.
- W2990107780 title "Three Essays on Stock Market Anomalies" @default.
- W2990107780 hasPublicationYear "2008" @default.
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