reading 38 - Market Efficiency

Other anomalies

Closed-end investment fund discounts Earnings surprises not always quickly reflected Initial public offerings Distressed securities effect Stock splits Super Bowl

Time series anomalies

January effect; Day- of- the- week effect; Weekend effect; Turn- of- the- month effect; Holiday effect; Time- of- day effect; Momentum; Overreaction

Holiday effect

Returns on stocks in the day prior to market holidays tend to be higher than other days.

Weekend effect

Returns on weekends tend to be lower than returns on weekdays.

Strong form of market efficiency

Security prices fully reflect all information from both public and private sources

Cross-sectional anomalies

Size effect; Value effect; Book- to- market ratios; P/E ratio effect; Value Line enigma

Turn- of- the- month effect

Stocks do best around the turn of the month

Day- of- the- week effect

The tendency for Monday to have a negative average return.

Weak Form Market Efficiency

market price reflects Past Market Data

Semi- strong form of market efficiency

market price reflects Past Market Data and Public Information

on average, the initial selling price is set too low and that the price increases dramatically on the first trading day. The percentage difference between the issue price and the closing price at the end of the first day of trading is often referred to as the degree of X.

underpricing