Working paper
Open access

Spanning analysis of stock market anomalies under prospect stochastic dominance

Number of pages31
Publication date2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and Linear Programming. In an application, we use the prospect spanning framework to evaluate whether well-known anomalies are spanned by standard factors. We find that of the strategies considered, many expand the opportunity set of the prospect type investors, thus have real economic value for them. In-sample and out-of-sample results prove remarkably consistent in identifying genuine anomalies for prospect investors.

  • Nonparametric test
  • Prospect stochastic dominance efficiency
  • Prospect spanning
  • Market anomaly
  • Linear Programming
  • JEL : C12
Citation (ISO format)
ARVANITIS, Stelios, SCAILLET, Olivier, TOPALOGLOU, Nikolas. Spanning analysis of stock market anomalies under prospect stochastic dominance. 2020
Main files (1)
Working paper
  • PID : unige:134101

Technical informations

Creation04/06/2020 3:28:00 PM
First validation04/06/2020 3:28:00 PM
Update time03/15/2023 9:28:11 PM
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