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英文文献：An Analysis of Stock Market Anomalies and Momentum Strategies on the Stock Exchange of Mauritius-毛里求斯证券交易所的股票市场异常和动量策略分析
英文文献作者：S.K. Bundoo
英文文献摘要：
The Stock Exchange of Mauritius started operations in July 1989 and as at December 2006 there were 41 listed companies with a market capitalization of US$3,540.60 million. The market index is the Semdex. This study investigates whether the stock market anomalies such as day-of-the-week effect and the January effect are present on the Stock Exchange of Mauritius over the period January 2004 to December 2006. We find negative Tuesday returns but positive returns for other days of the week. However, when we control for the size effect and the value premium as per the Fama and French (1993) three-factor model, only the Friday effect remains significant. The possible profit opportunities on the SEM in terms of both economic and statistical significance are also investigated. Finally, the study investigated investment strategies based on momentum in returns on the Stock Exchange of Mauritius and how robust these strategies are after controlling for size and value. The mean excess returns are statistically significant at the 1% level for momentum portfolios. We also find strong support for the Carhart’s (1997) model where the momentum factor is priced. The explanatory power of the momentum factor in fact dominates that of size and value
毛里求斯证券交易所于1989年7月开始营业，截至2006年12月，共有41家上市公司，市值35.406亿美元。市场指数是Semdex。摘要本研究探讨2004年1月至2006年12月期间，毛里求斯股票市场是否存在周内效应和一月效应等异常现象。我们发现周二的回报是负的，但其他日子的回报是正的。然而，当我们根据Fama和French(1993)三因素模型控制规模效应和价值溢价时，只有周五效应仍然显著。从经济意义和统计意义两方面研究了SEM可能的盈利机会。最后，本研究调查了基于毛里求斯股票交易所回报动量的投资策略，以及这些策略在控制规模和价值后的稳健程度。对于动量投资组合来说，平均超额收益在1%的水平上具有统计学意义。我们还发现了对Carhart(1997)模型的有力支持，该模型中动量因素被定价。动量因素的解释能力实际上超过了规模和价值的解释能力
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