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

	|		PDF	|	Viewed - 32	|	Published on 2020-02-25