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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP14232 |
DP14232 Global Market Inefficiencies | |
Söhnke Bartram; Mark Grinblatt | |
发表日期 | 2019-12-22 |
出版年 | 2019 |
语种 | 英语 |
摘要 | Using point-in-time accounting data, we estimate monthly fair values of 25,000+ stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially the Asia Pacific, that are unrelated to known anomalies. The strategy’s 40–70 basis point per month alpha difference between emerging and developed markets contrast with prior research findings. A country’s pre-transaction-cost alpha is positively related to its trading costs, but exceeds country-specific institutional trading costs. Thus, global equity markets are inefficient, particularly in countries with quantifiable market frictions, like trading costs, that deter arbitrageurs. |
主题 | Financial Economics |
关键词 | International finance Valuation Asset pricing Market efficiency Fundamental analysis Point-in-time (pit) Transaction costs Principal components Instrumented principal components analy-sis (ipca) |
URL | https://cepr.org/publications/dp14232 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543118 |
推荐引用方式 GB/T 7714 | Söhnke Bartram,Mark Grinblatt. DP14232 Global Market Inefficiencies. 2019. |
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