Market Anomalies on Return

There are various anomalies in the financial markets such as profitability, financial distress, lottery, volatility, and growth options, which origin and nature are unclear, ambiguous and apparently unrelated. In this study, we investigate the seemingly unrelated anomalies using the third and fourth moments of return’s distribution function and by isolating the expected skewness effect attributed to future growth options to evaluate the investors' performance in portfolio selection. For this purpose, the data of 114 companies listed in Tehran Stock Exchange between 2011 and 2016 are reviewed based on portfolio modeling and factor models. Results shows that performance is better when investing at highest expected idiosyncratic skewness attributed to future growth options.