Portfolio performance with controlled variables in the Singapore Stock Market

Abstract

Recently, many stock return ‘anomalies’ have been identified. This leads to increasing agreement among researchers that these anomalies are relevant to enhancing investment performance. This study examines the existence of stock return anomalies on the Stock Exchange of Singapore in the period 1979–87, using a behavioural approach. The results reveal that the impact of anomalies on stock returns is unstable, with the direction of the impact determined by the strength of the stock market. This phenomenon and other observed anomalies may be partially explained by investors' psychology.