We model asset management as a continuum between active and passive: managers can
deviate from benchmark indices to exploit noise trader–induced distortions, but agency …

An extensive literature studies interactions of stock market anomalies using double-sorted
portfolios. But given hundreds of known candidate anomalies, examining selected …

In this paper, we describe how agency frictions in asset management can generate prime
violations of the Efficient Markets Hypothesis, such as momentum, value and an inverted risk …

We document that on days following bad macroeconomic news, the stock market continues
to decline, and the security market line has a significantly negative slope. We find weak …

Purpose–This study analyzes the Borsa İstanbul against equity return anomalies. With this
purpose, the role of key financial stability indicators on long and short-term volatility …