Testing anomaly effects with panel data model—an applications on mother board makers and construction sectors

Authors: Wen-Den Chen, Ming-Shiang Yang, Mei-Fang Kao;
Journal: Chiao Da Management Review. Jun. 2006, 26(1): 69-85.
Keywords:Dynamic panel data; Anomaly return; Efficient market


Abstract:
This study applies panel data analysis on the anomaly return for the computer motherboard and construction sectors. In this research we use the poolability test on assets that have the same behavior function. In the result analysis we find: (1) the computer motherboard sector behaves more efficient than the construction sector in the stock market; (2) the lagged return rate is significant in explaining capability; no matter for daily or weekly data, (3) the anomaly returns that are described by the firm size and PE rate apparently influence the market.