International Journal of Management and Applied Science (IJMAS)
.
Follow Us On :
current issues
Volume-7,Issue-1  ( Jan, 2021 )
Past issues
  1. Volume-7,Issue-1  ( Jan, 2021 )
  2. Volume-6,Issue-12  ( Dec, 2020 )
  3. Volume-6,Issue-11  ( Nov, 2020 )
  4. Volume-6,Issue-10  ( Oct, 2020 )
  5. Volume-6,Issue-9  ( Sep, 2020 )
  6. Volume-6,Issue-8  ( Aug, 2020 )
  7. Volume-6,Issue-7  ( Jul, 2020 )
  8. Volume-6,Issue-6  ( Jun, 2020 )
  9. Volume-6,Issue-5  ( May, 2020 )
  10. Volume-6,Issue-4  ( Apr, 2020 )

Statistics report
Apr. 2021
Submitted Papers : 80
Accepted Papers : 10
Rejected Papers : 70
Acc. Perc : 12%
Issue Published : 83
Paper Published : 4547
No. of Authors : 9364
  Journal Paper


Paper Title :
Anomalies in the Test of Stock Market Returns with the Cumulative Prospective Stochastic Dominance Method

Author :Cheng-Te Chen

Article Citation :Cheng-Te Chen , (2019 ) " Anomalies in the Test of Stock Market Returns with the Cumulative Prospective Stochastic Dominance Method " , International Journal of Management and Applied Science (IJMAS) , pp. 81-87, Volume-5,Issue-6

Abstract : For the study of market efficiency, most of the past studies used the Mean-variance Model. In recent years, some scholars used the first- and second-order stochastic dominance criteria together with the full-risk asset portfolio to examine the anomalies of stock market returns. In this study, the Cumulative Prospective Stochastic Dominance Method is applied on a portfolio of both risk-based and risk-free assets to verify the anomalies of stock market returns. The research object is the BRIC stock markets, and the market anomalies include the scale and monthly effects. The results show that there are monthly effects in the BRIC stock markets. In this study, the test results of the Mean-variance Model and the Cumulative Prospective Stochastic Dominance Method are compared and analyzed as a reference for market investors in their investment decisions. Keywords - Stochastic Dominance, Cumulative Prospect Theory, Scale Effect, Monthly Effect

Type : Research paper

Published : Volume-5,Issue-6


DOIONLINE NO - IJMAS-IRAJ-DOIONLNE-16802   View Here

Copyright: © Institute of Research and Journals

| PDF |
Viewed - 18
| Published on 2020-02-25
   
   
IRAJ Other Journals
IJMAS updates
IJMAS -THANK YOU ALL FOR CONTRIBUTING YOUR PAPER TO IJMAS DEC ISSUE. ALL AUTHORS ARE REQUESTED TO GET THEIR HARD COPY NOW.
The Conference World
Facebook

JOURNAL SUPPORTED BY