G2TT
来源类型Discussion paper
规范类型论文
来源IDDP14232
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)
URLhttps://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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