Exploiting stochastic dominance to generate abnormal stock returns
Clark, Ephraim A. and Kassimatis, Konstantinos (2014) Exploiting stochastic dominance to generate abnormal stock returns. Journal of Financial Markets, 20 . pp. 20-38. ISSN 1386-4181 [Article] (doi:10.1016/j.finmar.2014.05.002)
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Abstract
We construct zero cost portfolios based on second and third degree stochastic dominance and show that they produce systematic, statistically significant, abnormal returns. These returns are robust with respect to the single index CAPM, the Fama-French 3-factor model, the Carhart 4-factor model and the liquidity 5-factor model. They are also robust with respect to momentum portfolios, transactions costs, varying time periods and when broken down by a range of risk factors, such as firm size, leverage, age, return volatility, cash flow volatility and trading volume.
| Item Type: | Article |
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| Additional Information: | The final published article is available on open access at : http://dx.doi.org/10.1016/j.finmar.2014.05.002 |
| Research Areas: | A. > Business School > Accounting and Finance |
| Item ID: | 17102 |
| Notes on copyright: | © 2014. This author's accepted manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| Useful Links: | |
| Depositing User: | Sasha Antoni |
| Date Deposited: | 29 Jun 2015 08:55 |
| Last Modified: | 29 Nov 2022 23:24 |
| URI: | https://eprints.mdx.ac.uk/id/eprint/17102 |
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