Logotipo del repositorio

Evaluating asset pricing anomalies: evidence from Latin America

Vista sencilla de ítem
dc.contributor.authorBerggrun, Luis
dc.contributor.authorCardona, Emilio
dc.contributor.authorLizarzaburu Bolaños, Edmundo Raúl
dc.contributor.orcidBerggrun, Luis [0000-0002-8489-0818]
dc.contributor.orcidLizarzaburu Bolaños, Edmundo Raúl [0000-0002-8862-5624]
dc.contributor.scopusBerggrun, Luis [37057140100]
dc.contributor.scopusCardona, Emilio [57069944700]
dc.contributor.scopusLizarzaburu Bolaños, Edmundo Raúl [55617076500]
dc.date.accessioned2025-02-25T20:43:31Z
dc.date.available2025-02-25T20:43:31Z
dc.date.issued2024-06-01
dc.description.abstractenglishWe analyze the significance of 51 asset pricing anomalies in Latin America. We examine economic significance via portfolio simulations that dilute the effect of microcaps. To avoid reporting false discoveries, we employ a multiple hypothesis testing framework. Few anomalies are economically significant. Expanding the holding periods for long-short anomaly portfolios points out to the same direction. Anomalies are seldom significant when testing for statistical significance and tend to be more prevalent in small rather than in large stocks. However, their presence is not widespread. Thus, many anomalies in the extant literature do not survive out-of-sample scrutiny in this region.eng
dc.description.orcidhttps://orcid.org/0000-0002-8489-0818
dc.description.orcidhttps://orcid.org/0000-0002-8862-5624
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=37057140100
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57069944700
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=55617076500
dc.identifier.doihttps://doi.org/10.1016/j.ribaf.2024.102381
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.localArt008
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.identifier.urihttp://hdl.handle.net/10726/5781
dc.language.isoeng
dc.publisherElsevier B.V.
dc.relation.citationvolume70
dc.relation.ispartofjournalResearch in International Business and Finance
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.localAbierto (Texto Completo)
dc.subject.proposalEmerging markets
dc.subject.proposalFalse discovery rate
dc.subject.proposalFive-factor model
dc.subject.proposalMeta-analysis
dc.subject.proposalPortfolios
dc.titleEvaluating asset pricing anomalies: evidence from Latin Americaeng
dc.typearticle
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.versioninfo:eu-repo/semantics/acceptedVersion

Archivos

Colecciones

Artículos y borradores de administración – Working papers