Ma, Qingzhong; Wang, Hui; Zhang, Wei - In: Review of Behavioral Finance 9 (2017) 3, pp. 242-261
Purpose The purpose of this paper is to explore trading strategies that exploit investors’ anchoring bias. Design/methodology/approach This paper forms portfolios based on nearness ratio and other anomaly variables under one- and two-way sorts. The portfolio return series are then regressed on...