Anomalies and Market Efficiency

By William E. Simon, G. Schwert. 2002

856 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ff05c049dcc64591ac8796d8ee36ae0bcaf14afa

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

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Citations in the corpus

Does Academic Research Destroy Stock Return Predictability (2016, positive): “Using index funds formed on the basis of size and value, Schwert (2003) shows that the size and book-to-market effect have disappeared, and interprets the findings by stating, “the activities of practitioners who implement strategies to take advantage of anomalous behavior can cause the anomalies…”
Investor sentiment in the stock market (2013, neutral): “For example, Dimensional Fund Advisors (DFA) started to use size effect as a strategy (Schwert, 2003).”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, neutral): “…event studies, with a focus on those papers reporting long-term return anomalies of under- and over-reactions to information; (2) Malkiel (2003) and Schwert (2003) scrutinize those studies reporting evidence of statistically significant predictable patterns in stock returns; (3) Park and Irwin…”
Price Momentum and Idiosyncratic Volatility (2008, neutral): “ Schwert (2003) finds that many well-known anomalies, such as the small-firm effect and the value effect, are not observed after the sample periods examined by the studies that initially identify these anomalies.”
The aftermarket performance of initial public offerings in Canada (2004, neutral): “Schwert (2001) concluded that « Does this reflect sample selection bias (so that there was never an anomaly in the first place » Or, does it reflect the actions of practioners in learning about the anomaly and trading in such away that it no longer remains profitable?”
SEC Regulation Fair Disclosure, Information, and the Cost of Capital (2007, neutral): “Schwert (2003) suggests that this information was subsequently forthcoming because investors responded to the academic studies.”
The Expected Value Premium (2008, positive): “Schwert (2003) shows that the value premium has declined in the 1990s following the influential publications of Fama and French (1992, 1993), and argues that academic research has made capital markets more efficient.”
The History of the Cross Section of Stock Returns (2016, neutral): “…examine anomalies in domestic equity markets by exploiting sample periods prior to (e.g., Jaffe et al. (1989) and Wahal (2016)) or after (e.g,. Jegadeesh and Titman (2001), Schwert (2003), Chordia et al. (2014), and McLean and Pontiff (2016)) the original sample period used to discover the anomaly.”
Accounting Anomalies and Fundamental Analysis: A Review of Recent Research Advances (2010, neutral): “For example, Schwert (2007) uses ISI Web of Science citation data to rank papers published in the Journal of Financial Economics between 1974 and 2005 by the number of citations per year.”
... and the Cross-Section of Expected Returns (2013, positive): “Our research quantifies the warnings of both Fama (1991) and Schwert (2003).”
The Role of Shorting, Firm Size, and Time on Market Anomalies (2013, neutral): “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.”