Sensitivity analyses of anomalies in developed stock markets

Journal of Banking and Finance

Volumn 25, Issue 8, 2001, Pages 1503-1541

  Durham, J Benson ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

C51; Extreme bound analysis (EBA); G12; Specification bias; Stock market anomalies

Indexed keywords

EID: 0041405661     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(00)00143-6     Document Type: Article

References (54)

1. Asness, C.S., Liew, J.M., Stevens, R.L., 1997. Parallels between the cross-sectional predictability of stock and country returns. Journal of Portfolio Management, (Spring) 79-87.
2. Asprem M. Stock prices, asset portfolios and macroeconomic variables in ten European countries. Journal of Banking and Finance. 13:1989;589-612.
3. Banz R.W. The relationship between return and market value of common stocks. Journal of Financial Economics. 9:1981;3-18.
4. Basu S. Investment performance of common stocks in relation to their price earnings ratios: A test of the efficient markets hypothesis. The Journal of Finance. 32:1977;663-682.
5. Beck N., Katz J. What to do (and not to do) with time-series cross-sectional data. American Political Science Review. 89:1995;634-647.
6. Bekaert, G., Erb, C.B., Harvey, C.R., Viskanta, T.E., 1997. What matters for emerging equity investments. Emerging Markets Quarterly (Summer), 17-46.
7. Black, F., 1982. The trouble with econometric models. Financial Analysts Journal (March/April), 29-37.
8. Breedon, F., Bianchi, M., Sharma, D., 1997. Testing the predictive power of dividend yields: Non-parametric evidence from the G5. Bank of England, Working Paper.
9. Brown P., Keim D., Kleidon A., Marsh T. New evidence on the nature of size related anomalies in stock prices. Journal of Financial Economics. 12:1983;105-128.
10. Capaul, C., Rowley, I., Sharpe, W.F., 1993. International value and growth stock returns. Financial Analysts Journal (January/February), 27-36.
11. Chaumeton, L., Connor, G., Curds, R., 1996. A global stock and bond model. Financial Analysts Journal (November/December), 65-74.
12. Chen N., Roll R., Ross S.A. Economic forces and the stock market. Journal of Business. 59:1986;383-403.
13. Cochrane D., Orcutt G.H. Application of least-squares regression to relationships containing autocorrelated error terms. Journal of the American Statistical Association. 44:1949;32-61.
14. Cooley T., LeRoy S. Identification and estimation of money demand. American Economic Review. 71:1981;825-844.
15. De Bondt W.R.M., Thaler R. Does the stock market overreact? The Journal of Finance. 40:1985;793-805.
16. Diamonte, R.L., Liew, J.M., Stevens, R.L., 1996. Political risk in emerging and developed markets. Financial Analysts Journal (May/June), 71-76.
17. Durham, J.B., 2000. Extreme bound analysis of emerging stock market anomalies: Nothing is robust. The Journal of Portfolio Management (Winter), 95-103.
18. Erb, C.B., Harvey, C.R., Viskanta, T.E., 1995. Country risk and global equity selection. The Journal of Portfolio Management (Winter), 74-83.
19. Erb, C.B., Harvey, C.R., Viskanta, T.E., 1996a. Expected returns and volatility in 135 countries. The Journal of Portfolio Management (Spring), 46-58.
20. Erb, C.B., Harvey, C.R., Viskanta, T.E., 1996b. Political risk, economic risk, and financial risk. Financial Analysts Journal (November/December), 29-46.
21. Erb, C.B., Harvey, C.R., Viskanta, T.E., 1997a. Demographics and international investments. Financial Analysts Journal (July/August), 14-28.
22. Erb, C.B., Harvey, C.R., Viskanta, T.E., 1997b. Country risk in global financial management, monograph. The Research Foundation of the Institute of Chartered Financial Analysts.
23. Fama, E.F., French, K.R., 1996. Multifactor explanations of asset pricing anomalies. The Journal of Finance 51 (March), 55-84.
24. Fama, E.F., French, K.R., 1998. Value versus growth: The international evidence. The Journal of Finance 53 (December), 1975-1999.
25. Fama E.F., MacBeth J.D. Risk, return, and equilibrium: Empirical tests. Journal of Political Economy. 81:1973;607-636.
26. Fama E.F., Schwert G.W. Asset returns and inflation. Journal of Financial Economics. 5:1977;115-146.
27. Ferson W., Harvey C.R. An exploratory investigation of the fundamental determinants of national equity market returns. Frankel J.A. Internationalization of Equity Markets. 1994;59-138 University of Chicago Press, Chicago.
28. Ferson W., Harvey C.R. Fundamental determinants of national equity market returns: A perspective on conditional asset pricing. Journal of Banking and Finance. 21:1997;1625-1665.
29. Granger C.W.J., Uhlig H.F. Reasonable extreme-bounds analysis. Journal of Econometrics. 44:1990;159-170.
30. Greene W. Econometric Analysis. third ed:1997;Prentice-Hall, Upper Saddle River, NJ.
31. Grier K.B., Tullock G. An empirical analysis of cross-national economic growth 1951-1980. Journal of Monetary Economics. 24:1989;259-276.
32. Harvey C.R. The term structure and world economic growth. Journal of Fixed Income. 1:1991;4-17.
33. Haugen, R.A., 1996. The effects of intrigue, liquidity, imprecision, and bias on the cross-section of expected stock returns. The Journal of Portfolio Management (Summer), 8-17.
34. Haugen R.A., Lakonishok J. The Incredible January Effect. 1987;Irwin, Homewood, IL.
35. Haugen R.A., Baker N.L. Commonality in the determinants of expected stock returns. Journal of Financial Economics. 4:1996;401-439.
36. Hess G., Jones C., Porter R. The predictive failure of the Baba, Hendry and Starr model of M1. Journal of Economics and Business. 50:1998;477-507.
37. Jegadeesh N. Evidence of predictable behavior of security returns. The Journal of Finance. 45:1990;881-898.
38. Jegadeesh N., Titman S. Returns to buying winners and selling losers: Implications for market efficiency. The Journal of Finance. 48:1993;65-91.
39. Kennedy P. A Guide to Econometrics. fourth ed:1998;MIT Press, Cambridge, MA.
40. Keppler, M., Traub, H., 1993. The small country effect. In: Klein, R.A., Lederman, J. (Eds.), Small Cap Stocks: Investment and Portfolio Strategies for the Institutional Investor. Probus Publishing Company, Chicago, IL. pp. 435-455.
41. Knack S., Keefer P. Institutions and economic performance: Cross-country tests using alternative institutional measures. Economics and Politics. 7:1995;207-227.
42. Kuhn T.S. The Structure of Scientific Revolutions. 1962;University of Chicago Press, Chicago.
43. Leamer E.E. Let's take the con out of econometrics. American Economic Review. 73:1983;31-43.
44. Levine R., Renelt D. A sensitivity analysis of cross-country growth regressions. American Economic Review. 82:1992;942-963.
45. Malkiel B.G. A Random Walk Down Wall Street. 1996;W.W. Norton and Co. New York.
46. McAleer M., Pagan A.R., Volker P.A. What will take the con out of econometrics? American Economic Review. 75:1985;293-307.
47. O'Shaughnessy J.P. What Works on Wall Street: A Guide to the Best-Performing Investment Strategies of All Time. 1997;McGraw-Hill, New York.
48. Park, S., 1997. Rationality of negative stock-price responses to strong economic activity. Financial Analysts Journal (September/October), 52-56.
49. Parks R. Efficient estimation of a system of regression equations when disturbances are both serially and contemporaneously correlated. Journal of the American Statistical Association. 62:1967;500-509.
50. Pontiff J., Schall L.D. Book-to-market ratios as predictors of market returns. Journal of Financial Economics. 49:1998;141-160.
51. Rouwenhorst, K.G., 1998. Local return factors and turnover in emerging stock markets. Working paper, Yale University School of Management, New Haven, CT.
52. Sala-i-Martin, X., 1997a. I just ran two million regressions. American Economic Review 87 (January), 178-183.
53. Sala-i-Martin, X., 1997b. I just ran four million regressions. NBER Working Papers Series 6252.
54. White H. A heteroskedasticity-consistent covariance matrix and a direct test for heteroskedasticity. Econometrica. 48:1980;817-838.