Exploiting stochastic dominance to generate abnormal stock returns

Article


Clark, E. and Kassimatis, K. 2014. Exploiting stochastic dominance to generate abnormal stock returns. Journal of Financial Markets. 20, pp. 20-38. https://doi.org/10.1016/j.finmar.2014.05.002
TypeArticle
TitleExploiting stochastic dominance to generate abnormal stock returns
AuthorsClark, E. and Kassimatis, K.
Abstract

We construct zero cost portfolios based on second and third degree stochastic dominance and show that they produce systematic, statistically significant, abnormal returns. These returns are robust with respect to the single index CAPM, the Fama-French 3-factor model, the Carhart 4-factor model and the liquidity 5-factor model. They are also robust with respect to momentum portfolios, transactions costs, varying time periods and when broken down by a range of risk factors, such as firm size, leverage, age, return volatility, cash flow volatility and trading volume.

PublisherElsevier
JournalJournal of Financial Markets
ISSN1386-4181
Publication dates
Online28 May 2014
Print01 Sep 2014
Publication process dates
Deposited29 Jun 2015
Accepted18 May 2014
Output statusPublished
Accepted author manuscript
License
Copyright Statement

© 2014. This author's accepted manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/

Additional information

The final published article is available on open access at : http://dx.doi.org/10.1016/j.finmar.2014.05.002

Digital Object Identifier (DOI)https://doi.org/10.1016/j.finmar.2014.05.002
LanguageEnglish
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