Can retail investors exploit stock market anomalies?

Can retail investors exploit stock market anomalies?

Article Type: Abstracts From: Strategic Direction, Volume 28, Issue 8

Siganos A.Applied Financial Economics, May 2012, Vol. 22 No. 7, Start page: 537, No. of pages: 11

This article investigates the extent to which small investors can exploit a range of stock market anomalies. The study uses a small number of companies to define both long and short portfolios, and investigates the post-cost profitability of the following strategies: earnings/price, return/assets, price, asset growth, size, dividend/price and overreaction. Transaction cost is estimated when buying underlying shares and when selling short shares with contracts for difference (CFDs). Findings show that only the earnings/price strategy can enjoy net gains for small investors showing some evidence against stock market efficiency.Article type: Research paperISSN: 0960-3107Reference: 41AH243

Keywords: Contracts for difference, Small investors, Stock market anomalies