Return anomalies : insights from international stock markets

異常回報 : 國際股市的啓示

Student thesis: Doctoral Thesis

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  • Miao LUO

Related Research Unit(s)


Awarding Institution
  • Hong Joe ZOU (Supervisor)
  • Jun CAI (Supervisor)
Award date3 Oct 2011


This thesis work examines the return anomalies in the international stock markets. It has two features: (1) it includes a comprehensive range of emerging markets in addition to developed markets, and (2) it studies various anomaly variables simultaneously. This study mainly investigates three issues: whether return anomalies exist internationally, how to understand anomaly returns associated with investments, and what factors drive the international stock markets. To conclude, return anomalies associated with B/M, C/P, E/P, size, momentum, and accruals are observed pervasively. The relation between annual ROA and subsequent stock returns is dependent on size. Issue effect is more attributable to small stocks. Total asset growth effect is significant in developed markets and is stronger among small stocks, which is mainly due to low returns from big stocks with high investments and high returns from small stock with low investments. The findings pose challenges to behavioral explanations but support the rational based reasoning. Three parsimonious international three factor models with factors associated with "market, B/M, and size", "market, C/P, and momentum" and "market, C/P, and accruals" perform similarly on various double-sorted portfolios, although the latter two factor sets perform a bit better.

    Research areas

  • Stocks, Rate of return, Efficient market theory, Stock exchanges