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3. Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R.
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58. Table 1: Anomaly definitions and summary statistics Panel A: Definitions Variable Definition Publication ACC Accruals: the change in non-cash Sloan (1996) current assets minus the change in current liabilities all divided by total assets AG Asset growth: yearly percentage Cooper et al. (2008) change in total assets B/M Book-to-market ratio: book equity Fama and French (1992) over lagged market equity ISSUE Share issuance: change in number of Pontiff and Woodgate (2008) shares outstanding from 11 months ago PROFIT Profitability: earnings over book equity Fama and French (2006) R1 Return reversal: lagged 1 month return Jegadeesh (1990) R212 Momentum: 11 month cumulative return Jegadeesh and Titman (1993) to the start of previous month SIZE Firm size: market value of firm’s equity Banz (1981) TURN Stock turnover: trading volume Datar et al. (1998) over number of shares outstanding Panel B: Summary statistics Mean Median Std. Dev. Skew. Kurt.
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59. Table 3: Univariate Fama-MacBeth regression coefficients Full sample Sub-sample I Sub-sample II 1990–2013 1990–2001 2002–2013 Constant FM Coef. Constant FM Coef. Constant FM Coef.
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60. Table A.1: Univariate Fama-MacBeth regression coefficients Panel A: Fama and French (1993) three-factor risk adjustment Full sample Sub-sample I Sub-sample II 1990–2013 1990–2001 2002–2013 Constant FM Coef. Constant FM Coef. Constant FM Coef.
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61. The full sample period of January 1990 to December 2013. The first sub-sample runs from January 1990 to December 2001. The second sub-sample runs from January 2002 to December 2013.
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48. Do academic investment insights benefit society?. (2016). Lai, Wan-Ni .
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52. Profitable momentum trading strategies for individual investors. (2015). Langer, Thomas ; Foltice, Bryan.
    In: Financial Markets and Portfolio Management.
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53. Looking for Synergy with Momentum in Main Asset Classes. (2014). Maditinos, Dimitrios I. ; Macijauskas, Lukas .
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54. Exploiting stochastic dominance to generate abnormal stock returns. (2014). Clark, Ephraim ; Kassimatis, Konstantinos .
    In: Journal of Financial Markets.
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55. The Sophisticated and the Simple: The Profitability of Contrarian Strategies from a Portfolio Managers Perspective. (2014). Giamouridis, Daniel ; Montagu, Chris.
    In: European Financial Management.
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56. Compositional changes in the FTSE100 index from the standpoint of an arbitrageur. (2013). Siganos, Antonios ; Opong, Kwaku.
    In: Journal of Asset Management.
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57. Trade Timing, Price Volatility and Serial Correlation. (2013). Wang, Minga Chang ; Zu, Lona Ping.
    In: European Financial Management.
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58. Can retail investors exploit stock market anomalies?. (2012). Siganos, Antonios .
    In: Applied Financial Economics.
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59. The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks. (2012). Galariotis, Emilios C. ; Badreddine, Sina ; Holmes, Phil.
    In: Journal of International Financial Markets, Institutions and Money.
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60. In search of momentum profits: are they illusory?. (2011). Parhizgari, A. M. ; Pavlova, Ivelina.
    In: Applied Financial Economics.
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61. The 52-week high strategy and information uncertainty. (2011). Burghof, Hans-Peter ; Prothmann, Felix .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:25:y:2011:i:4:p:345-378.

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62. Can small investors exploit the momentum effect?. (2010). Siganos, Antonios.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:24:y:2010:i:2:p:171-192.

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63. Transaction Costs, Trading Volume and Momentum Strategies. (2009). Brooks, Chris ; Li, Xiafei ; Miffre, Joelle.
    In: ICMA Centre Discussion Papers in Finance.
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64. Stock price reaction following large one-day price changes: UK evidence. (2009). Joulmer, Joulmer ; Joseph, Nathan L. ; Mazouz, Khelifa.
    In: Journal of Banking & Finance.
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65. Momentum and Contrarian Stock-Market Indices. (2008). Hill, Robert ; Eggins, Jon.
    In: Discussion Papers.
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