Paper: SSRN 15108

Abstract

Click link for full abstract.

Complexity vs Empirical Score

  • Math Complexity: 3.0/10
  • Empirical Rigor: 2.0/10
  • Quadrant: Philosophers — conceptual discussion, limited math and data

Why this score: The paper is primarily theoretical and review-based, critiquing existing literature and methodologies without presenting new complex mathematics or data-heavy backtests; it focuses on conceptual arguments about market efficiency rather than implementation.

Research Flowchart

  flowchart TD
  A["Research Goal:<br/>Test Market Efficiency &<br/>Long-Term Return Predictability"] --> B["Methodology: Event Study<br/>& Calendar-Time Portfolio Analysis"]
  
  B --> C["Data Inputs:<br/>CRSP/Compustat<br/>& Market Anomalies Data"]
  
  C --> D{"Computational Process:<br/>Calculate Cumulative Abnormal Returns<br/>& Fama-French Factor Regressions"}
  
  D --> E["Key Findings"]
  
  E --> F["Contradicts EMH:<br/>Persistent Long-Term<br/>Return Reversals"]
  E --> G["Supports Behavioral Finance:<br/>Psychological Biases Drive<br/>Market Inefficiencies"]
  E --> H["Outcomes:<br/>Anomalies Remain<br/>Statistically Significant"]