Chapter 15 Anomalies and market efficiency

By G. Schwert. 2003

274 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/69b9a65c6589a3e2827bb0c885132b169f7808ba

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Citations in the corpus

Day of the week and the cross-section of returns (2018, unknown): “Recent studies find that the weekend effect does not exist in more recent time periods (Kamara, 1997; Schwert, 2003; Robins and Smith, 2015).”
The New Issues Puzzle: Testing the Investment-Based Explanation (2008, unknown): “One possible reason why the longer sample delivers different results is that the size effect has been attenuated or disappeared since its initial discovery, a point emphasized by Schwert (2003).”
Expected Returns, Yield Spreads, and Asset Pricing Tests (2005, unknown): “For example, Schwert (2003) reports that the alpha of Dimensional Fund Advisors Small Company Portfolio is 0.20% per month with a standard error of 0.30% per month.”
Advances in Forecasting Under Instability (2012, unknown): “51See also Schwert (2003) for a similar argument.”
The day of the week effect in the cryptocurrency market (2017, background): “Ariel (1990), Fortune (1998) and Schwert (2003) all reported evidence against the Monday effect in developed markets, but this anomaly still appears to exist in many emerging markets (Caporale and Plastun, 2017).”
The Nature and Persistence of Buyback Anomalies (2009, background): “The first purpose of this paper is similar to Schwert (2003), i.e., to test whether these anomalies persist.”
Short Interest and Aggregate Stock Returns (2016, background): “However, Schwert (2003) also finds that the momentum anomaly persists, despite publication of the result, so that it is also possible that the predictive ability of our SII measure will persist.”
Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity (2014, unknown): “These results are consistent with the informal arguments of Schwert (2003) who, in reviewing anomalies documented during the 1970s and 1980s, suggests that increased arbitrage activity should limit the persistence of such anomalies.”
The Role of Shorting, Firm Size, and Time on Market Anomalies (2013, background): “In an exercise similar in spirit to Schwert (2003), McLean and Pontiff (2012) examine how returns to a variety of anomalies, including size, value, and momentum, vary before and after academic discovery and eventual publication.”
SEC Regulation Fair Disclosure, Information, and the Cost of Capital (2007, unknown): “Schwert (2003) suggests that this information was subsequently forthcoming because investors responded to the academic studies.”