AAPA ; Anomaly, P/E

What Is an Anomaly?

In economics and finance, an anomaly is when the actual result under a given set of assumptions is different from the expected result predicted by a model. An anomaly provides evidence that a given assumption or model does not hold up in practice. The model can either be a relatively new or older model. In finance, two common types of anomalies are market anomalies and pricing anomalies.

 

Market anomalies are distortions in returns that contradict the efficient market hypothesis (EMH). Pricing anomalies are when something, for example a stock, is priced differently to how a model predicts it will be priced.

 

Understanding Anomalies

Anomaly is a term describing an event where actual results differ from results that are expected or forecasted based on models. Two common types of anomalies in finance are market anomalies and pricing anomalies. Common market anomalies include the small cap effect and the January effect. Anomalies often occur with respect to asset pricing models, in particular, the capital asset pricing model (CAPM). Although the CAPM was derived by using innovative assumptions and theories, it often does a poor job of predicting stock returns. The numerous market anomalies that were observed after the formation of the CAPM helped form the basis for those wishing to disprove the model.

 

Although the model may not hold up in empirical and practical tests, that is not to say that the model does not hold some utility.

 

Anomalies do tend to be few and far between. In fact, once anomalies become publicly known, they tend to quickly disappear as arbitragers seek out and eliminate any such opportunity from occurring again.

 

Examples of Market Anomalies

In financial markets, any opportunity to earn excess profits undermines the assumptions of market efficiency - which states that prices already reflect all relevant information and so cannot be arbitraged.

 

January Effect

The January effect is a rather well-known anomaly. Here, the idea is that stocks that underperformed in the fourth quarter of the prior year tend to outperform the markets in January. The reason for the January effect is so logical that it is almost hard to call it an anomaly. Investors will often look to jettison underperforming stocks late in the year so that they can use their losses to offset capital gains taxes (or to take the small deduction that the IRS allows if there is a net capital loss for the year). Many people call this event "tax-loss harvesting."

As selling pressure is sometimes independent of the company's actual fundamentals or valuation, this "tax selling" can push these stocks to levels where they become attractive to buyers in January. Likewise, investors will often avoid buying underperforming stocks in the fourth quarter and wait until January to avoid getting caught up in the tax-loss selling. As a result, there is excess selling pressure before January and excess buying pressure after January 1, leading to this effect.

 

 

7 Market Anomalies Every Investor Should Know

There is a link : https://www.investopedia.com/articles/financial-theory/11/trading-with-market-anomalies.asp 

7 Market Anomalies Every Investor Should Know

 

 

출처: https://www.investopedia.com/t

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P/E Effect

That portfolios with low P/E stocks exhibit higher average risk-adjusted returns than those with high P/E stocks.

 

P/E ratio

Current stock price divided by trailing annual earnings per share or expected annual earnings per share. Assume XYZ Co. sells for $25.50 per share and has earned $2.55 per share this year; $25.50 = 10 times $2.55. XYZ stock sells for ten times earnings.

 

* P/E ration 라고 하기도 하고, PER이라고 하기도 함. 우리말로는 주가수익률.

* P/E Ratio = Price per Share (주가) / Earnings per Share (주당순이익, EPS)

* 가치 투자시에 해당 주식값이 저평가 되었는지, 고평가 되었는지를 알려주는 지표.

* 우리는 주가가 낮을 때 사길 원하고, 주당순이익은 높길 바라므로, P/E가 낮을 수록 가치투자에 가깝다고 할 수 있다.

* 보통 PER, 즉 P/E가 낮으면 이익에 비해 주가가 저평가가 된 종목이고, 높다면 고평가된 종목이므로 가치투자하는 사람들에게 아주 중요한 지표로 사용됨. 주로 10을 기준으로 10보다 크면 고평가, 10보다 낮으면 저평가. 

 

* 최근의 주식시장을 이끄는 IT 기업들의 경우, 유형자산보다 장부에 기록이 안되는 무형자산의 비중이 더 커서, PER의 효용성에 대한 논란이 있기는 하다. 

 

Risk-adjusted resturns

Often we subtract from the rate of return on an asset a rate of return from another asset that has similar risk. This gives an abnormal rate of return that shows how the asset performed over and above a benchmark asset with the same risk. We can also use the beta of the asset multiplied by the benchmark return to create a hypothetical asset that has the same risk characteristics. The difference between the asset return and the beta times the benchmark is the risk adjusted return and is also known as the alpha.

 

 

 

 

출처 : https://www.nasdaq.com/, https://blog.naver.com/gchangsu86dhpla_560?Redirect=Log&logNo=221818649226

, https://blog.naver.com/cs5207/221327882946