FINS 2624 ASSIGNMENT 2
EXECUTIVE SUMMARY
To sum up, based on the discussion above, it seems that for the US market, it appeared to be working under a weak-form of inefficient market considering market anomalies of momentum effects and pricing-earning ratio and intrinsic measure anomalies. However, for Australia market, due to the characteristics difference of Australia market, the portfolio of Australian shares are consistent with the weak-form of market efficiency, however, it does not apply to the individual stocks. Besides, no intrinsic measure anomalies were found for the long horizon. Overall, Australia market is more efficiency compared to US market in terms of weak-from of market efficiency.
In addition, after examining the small firm in January effect anomaly, book to market ratio anomaly and post earnings announcement price drift anomaly, we could see that Australian market especially for small firms was influenced by January effect, book to market ratio and post......
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Approximate Word Count: 6729
Approximate Pages: 26 (260 words per double-spaced page) |