Style anomalies on the London Stock Exchange : an analysis of univariate, multivariate and timing strategies

Thesis

2005

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http://hdl.handle.net/11427/6691
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thesis_com_2005_bradshaw_s.pdf (15.25 MB)
Authors
Bradshaw, Steve
Supervisors
Van Rensburg, Paul
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University of Cape Town

Department
School of Management Studies
Faculty
Faculty of Commerce
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Abstract
According to Dimson (1998), modem financial theory is founded on the assumption that markets are highly efficient. The presence of anomalous stock market behaviour has therefore attracted a great amount of research internationally. This thesis investigates the presence and exploitability of style anomalies on the London Stock Exchange (LSE) and is divided into three main branches of research.
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Management Studies

Reference:

Bradshaw, S. 2005. Style anomalies on the London Stock Exchange : an analysis of univariate, multivariate and timing strategies. University of Cape Town.

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