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Capital Market Anomalies: Explained by human´s irrationality
of: Irini Varvouzou
Anchor Academic Publishing, 2013
ISBN: 9783954895304 , 82 Pages
Format: PDF, Read online
Copy protection: DRM
Capital Market Anomalies: Explained by human's irrationality
1
Table of Contents
3
1. Introduction
5
1.1. Problem Specification
5
1.2. Objective
5
1.3. Structure
5
2. Theoretical Basis of Behavioural Finance
7
2.1. Heuristics
8
2.1.1. Availability Heuristic
9
2.1.2. Representative Heuristic
10
2.1.3. Anchoring Heuristic
11
2.2. Behavioural Anomalies/Irrationalities
12
2.2.1. Information Perception Anomalies
12
2.2.1.1. Framing Effect
13
2.2.1.3. Selective Perception
15
2.2.2. Information Processing Anomalies
16
2.2.2.1. Reference Point Effect
17
2.2.2.2. Mental Accounting
17
2.2.2.3. Loss Aversion
19
2.2.3. Decision Making Anomalies
20
2.2.3.1. Cognitive Dissonance
20
2.2.3.2. Regret Avoidance
21
2.2.3.3. Overconfidence Bias
22
3. Capital Market Anomalies/Phenomena
25
3.1. Calendar Anomalies
25
3.1.1. Weekend Effect
25
3.1.2. January Effect
26
3.1.3. Turn-of-the-Month Effect
27
3.2. Figure Anomalies
28
3.2.1. Size Effect and Neglected-Firm Effect
28
3.2.2. Book-to-Market-Ratio Effect
29
3.2.3. Price-Earnings-Ratio Effect
30
3.3. Market Efficiency Anomalies
31
3.3.1. Index Effect
31
3.3.2. Bubbles and Crashs
32
3.3.3. Home Bias
33
3.3.4. Over-reaction and Under-reaction
34
3.3.5. Momentum Effect
35
3.3.6. Mean Reversion Effect
37
3.3.7. Announcement Effect
38
3.3.9. Closed-End Fund Puzzle
39
4. Empirical Evidence to the Capital Market Anomalies/Phenomena
41
4.1. Empirical Evidence to the Calendar Anomalies
41
4.1.1. Weekend Effect evidenced on International Markets
41
4.1.2. Other Studies to the remaining Calendar Anomalies
44
4.2. Empirical Evidence to the Figure Anomalies
46
4.2.1. Size Effect and Neglected-Firm Effect evidenced on the SDAX and DAX
47
4.2.2. Other Studies to the remaining Figure Anomalies
49
4.3. Empirical Evidence to the Market Efficiency Anomalies
52
4.3.1. Index Effect evidenced on the S&P 500
52
4.3.2. Bubbles and Crashs evidenced on the Tulipmania
54
5. Conclusion
57
5.1. Critical Acclaim
57
5.2. Target Achievement
57
5.3. Perspective
57
Bibliography
59
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