Evaluating asset pricing anomalies: evidence from Latin America

We 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 signific...

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Autores:
Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo Raúl
Tipo de recurso:
Article of investigation
Fecha de publicación:
2024
Institución:
Colegio de Estudios Superiores de Administración
Repositorio:
Repositorio CESA
Idioma:
eng
OAI Identifier:
oai:repository.cesa.edu.co:10726/5781
Acceso en línea:
http://hdl.handle.net/10726/5781
https://doi.org/10.1016/j.ribaf.2024.102381
Palabra clave:
Emerging markets
False discovery rate
Five-factor model
Meta-analysis
Portfolios
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Abierto (Texto Completo)