Cracking the Code of Market Secrets: A Deep Dive into Financial Anomalies

Uluyol, Burhan and Hui Pu, Suan and Shaturaev, Jakhongir and Kanaparan, Geetha (2023): Cracking the Code of Market Secrets: A Deep Dive into Financial Anomalies. Forthcoming in: International Journal of Risk and Financial Management , Vol. 3, No. 12 (November 2023): pp. 1-15.

Abstract

This paper reviews the literature on market anomalies and puzzles, providing a comprehensive overview of these complex phenomena that challenge the traditional Efficient Market Hypothesis. The authors examine a wide range of anomalies, including long-term return irregularities, earnings management, information uncertainty, mutual fund performance, day-of-the-week returns, the January effect, weather-induced mood shifts, international asset pricing, weekend anomalies, cryptocurrency efficiency, social transmission bias, emotional finance, biased beliefs, investor optimism, sentiment, global market inefficiencies, the influence of unique events and seasonal factors, and disappearing anomalies in country and industry returns. The authors also discuss the evolving landscape of market anomalies research, including machine learning approaches, investor behavior challenges, and the disappearance of some anomalies over time. They conclude by setting the groundwork for a more holistic comprehension of market anomalies, suggesting future research directions such as exploring new data sources, developing comprehensive theoretical models, and examining the role of technology, market regulations, and environmental changes in market anomalies.

• Item Type: MPRA Paper
• Language: English
• Keywords: Market anomalies; Efficient Market Hypothesis; Long-term return irregularities; Earnings management; Information uncertainty; Mutual fund performance
• Subjects: F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration; F - International Economics > F3 - International Finance > F37 - International Finance Forecasting and Simulation: Models and Applications; G - Financial Economics > G1 - General Financial Markets; P - Economic Systems > P3 - Socialist Institutions and Their Transitions

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