SPANNING ANALYSIS OF STOCK MARKET ANOMALIES

UNDER PROSPECT STOCHASTIC DOMINANCE

S. ARVANITIS*, O. SCAILLET** and N. TOPALOGLOU*,***

* Athens University of Economics and Business ** Université de Genève and Swiss Finance Institute *** IPAG Business School

 

Abstract


Keywords: Nonparametric test, prospect stochastic dominance efficiency, prospect spanning, market anomaly, Linear Programming, absence of loss aversion.

JEL: C12, C14, C44, C58, D81, G11, G40.