2006 | OriginalPaper | Buchkapitel
Univariate Portfolio Approach
Erschienen in: Stock Market Anomalies
Verlag: DUV
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In contrast to the large number of investigations on asset pricing behavior of U.S. and other developed markets, there are few publications about Latin American stock markets. Moreover, the published papers, which test for “anomalies” at a stock level in the Latin American markets, show contradictory results. For this reason and in order to reconcile the results, one question is investigated in this chapter: Are there
S
-,
P/BV
-,
P/E
-, and
TO
-effects in the LAEM for different sample periods, with different grouping procedures, and different return estimation?