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
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: 09 Jun 2021 18:13
URI: https://eprints.mdx.ac.uk/id/eprint/17102

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