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An Analysis of Anomaly Sensitivity to Market Conditions Using Linear and Nonlinear Techniques

Thomas M. Krueger and Keith H. Johnson
Quarterly Journal of Business and Economics
Vol. 30, No. 2 (Spring, 1991), pp. 3-27
Published by: Creighton University
Stable URL: http://www.jstor.org/stable/40473018
Page Count: 25
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
An Analysis of Anomaly Sensitivity to Market Conditions Using Linear and Nonlinear Techniques
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Abstract

This paper extends current knowledge of capital market anomalies through an analysis of their explanatory power under a variety of market conditions. The market anomalies considered are the popularly reported firm size effect, price/earnings ratio effect, and Value Line enigma. This paper demonstrates that their previously documented significant relationship with subsequent returns is dependent upon stock market and business conditions. Linear estimation tools include analysis of variance and means comparison routines. Anomaly significance also is investigated using stochastic dominance. Before portfolio formation on the basis of these anomalies, the investor must consider market conditions.

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