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Essays on Stock Market Anomalies

Karell, Ville (2018-12-05)

Katso/Avaa
Ville Karell A4.pdf (785.1Kb)
Errata Karell A4.pdf (177.5Kb)
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Väitöskirja

Karell, Ville
05.12.2018
Lappeenranta University of Technology

Acta Universitatis Lappeenrantaensis

School of Business and Management

School of Business and Management, Kauppatieteet

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Julkaisun pysyvä osoite on
http://urn.fi/URN:ISBN:978-952-335-313-8

Tiivistelmä

The objective of this doctoral thesis is to examine the efficacy of anomaly-based equity
trading strategies in the Finnish and the U.S stock markets. The main focus in the papers
included in this thesis is on different manifestations of value anomalies, but the
momentum, size, profitability, and investment anomalies are also examined. In addition,
the value indicators are combined with each other, as well as with a momentum indicator,
by employing multicriteria decision-making (MCDM) methods.

The thesis consists of four publications, each of them having a distinct focus and
contribution. Publication I introduces a new methodology for value portfolio selection
employing Finnish data. The results show that adjusting conventional valuation ratios for
firm size, industry classification, and financial leverage, and combining them as
composite selection criteria can add value to equity investors. The remaining three
publications employ U.S. data. Publication II compares the discriminatory power of a
larger number of individual valuation ratios than any earlier study. Publication III serves
as a sequel to Publication II by examining the combination strategies with four different
MCDM methods. Finally, Publication IV shows new evidence on anomaly interactions
and the cross-section of stock returns by employing 5x5 conditional double sorts and
Fama and MacBeth (1973) style regressions.

The findings of this thesis are useful for both academics and portfolio practitioners who
are interested in enhancing performance of their equity portfolios in terms of raw returns
and/or risk-adjusted returns. The overall results give interesting insights to trading
opportunities in two different national stock markets and provide many useful
implications for both unidimensional, as well as for multidimensional portfolio
management.
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