Honors Program
Honors in Business
Date of Award
5-2014
Thesis Professor(s)
William J. Trainor Jr.
Thesis Professor Department
Economics and Finance
Thesis Reader(s)
Edward A. Baryla Jr., Scott Jeffress
Abstract
This is a study about abnormal characteristics in the stock market and how to successfully use them in personal portfolios. Market anomalies are unexpected excess returns that occur in relation to certain variables. Five commonly known market anomalies (market cap, price-earnings ratio, price-book value, momentum, volatility) are tested to give evidence for their presence. Existing variables are then combined in different portfolios in order to observe whether they generate greater excess returns combined rather than individually. This study will also reveal whether long-term holding is possible and how the anomalies react in bullish and bearish markets.
Publisher
East Tennessee State University
Document Type
Honors Thesis - Withheld
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.
Recommended Citation
Steinfeldt, Larissa C., "Do Market Anomalies Add Up?" (2014). Undergraduate Honors Theses. Paper 192. https://dc.etsu.edu/honors/192
Copyright
Copyright by the authors.