significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage … portfolio returns for four well-known anomalies (size, value, momentum and beta) in 21 developed stock markets and more advanced … statistical methodology (quantile regressions, Markov regime-switching models, panel estimation procedures), we arrive at two …

significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage … portfolio returns for four well-known anomalies (size, value, momentum and beta) in 21 developed stock markets and more advanced … statistical methodology (quantile regressions, Markov regime-switching models, panel estimation procedures), we arrive at two …

This study provides an explanation for the emergence of power laws in asset trading volume and returns. We consider a … provide numerical results showing that the model reproduces observed distributions of daily stock volume and returns. … from their actions and adjust their own behavior accordingly. We prove that this leads to power laws for equilibrium volume …