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Market anomalies and abnormal returns
(2021) Tsarnas, Konstantinos; Τσαρνάς, Κωνσταντίνος; Athens University of Economics and Business, Department of Accounting and Finance; Rompolis, Leonidas; Tsekrekos, Andrianos; Chalamandaris, George
In the field of Asset Pricing, CAPM was widely used to predict asset returns. CAPM uses only the market risk to explain the assets; expected returns. However, the market portfolio does not provide enough explanatory performance to explain asset’ returns. Thus, the idiosyncratic risk can be priced. Therefore, I use various models towards that direction.This thesis uses datasets from the Kenneth French library to extract conclusions regarding abnormal returns on various portfolios of assets. I mainly use multifactor models as they are considered the simplest and most accurate models in asset pricing. The six factors for the FF6 model are used from Kenneth French library. These factors represent firm and market characteristics that can make iteration for risk. Apart from this, the 4 factor for the Stambaugh-Yuan mispricing factor model (M4) are downloaded from the authors’ site. Furthermore, I use the five factors for Hou-Mo-Xue-Zhang Q5 model. Then, the factors for Daniel, Hirshleifer, Sun, model (DHS) are also from the authors’ site. All models are estimated, by using the Fama Macbeth estimation procedure. To correct the biasness of the time series cross-sectionality, I run the gmm estimator, as it is more robust. This thesis reaches the conclusion that the FF6 model, outperforms the rest of the models. The models can explain the variability of the returns. The risk premia do not report a strong explanatory power, and other factors might be proper to be constructed to explain abnormal returns.