Stock Market Anomalies (eBook)

Dr. Victor Silverio Posadas Hernandez promovierte extern bei Prof. Dr. Jan Pieter Krahnen am Lehrstuhl für Kreditwirtschaft und Finanzierung der Universität Frankfurt am Main. Er ist als Exposure Management Analyst at Credit Management bei der Deutschen Bank AG in Frankfurt tätig.

Vorwort der Herausgeber 6
Acknowledgments 8
Contents 10
List of Tables 12
List of Figures 14
Table of Abbreviations 16
1 Introduction 17
2 Latin American Emerging Markets 27
2.1 Introduction 27
2.2 The Latin American Emerging Markets under Study 29
2.3 Previous Investigations of LAEM 30
2.4 Risk Development in Latin American Emerging Countries 31
2.5 Investment Law Index 41
2.6 Conclusions 52
3 An Index Methodology for Analyzing and Comparing the Development State and Trading Architecture of Stock Markets 54
3.1 Introduction 54
3.2 Trading Costs across Latin American Stock Exchanges 56
3.3 Development Indicators of the LAEM 58
4 Univariate Portfolio Approach 110
4.1 Introduction 110
4.2 Empirical Evidence 112
4.3 Database 116
4.4 Characteristics of the Analyzed Stock Markets 119
4.5 Return Characteristics 120
4.6 Methodology 126
4.7 Results 128
5 Regression Approach 145
5.1 Introduction 145
5.2 Methodology 147
5.3 Results 152
5.4 Conclusions 172
6 Conclusions 174
References 191
Appendixes 203