In this paper, we advocate the search frequency of stock name in Baidu Index as a novel and direct proxy for investor attention. Firstly, empirical results show that the quantified investor attention is a desired explanatory variable for abnormal return even trading volume is considered....

This article employs the number of news appeared in Baidu News as a novel proxy for information arrival and investigates the validation of the Mixture of Distribution Hypothesis (MDH) using a sample of SME PRICE INDEX in China. The empirical results reveal a positive impact of internet...

In this paper, we examine the Adaptive Market Hypothesis (AMH) through four well-known calendar anomalies in the Dow Jones Industrial Average from 1900 to 2013. We use subsample analysis as well as rolling window analysis to overcome difficulties with each method type of analysis. We also create...

This article examines the impact of the introduction of the Euro currency on the market efficiency of 10 of the most developed European stock markets during the period 1988 to 2012. We use an autocorrelation test, a runs test, various formulations of the variance ratio test and the nonlinear BDS...

This paper empirically investigates the Adaptive Market Hypothesis (AMH) in three of the most established stock markets in the world; the US, UK and Japanese markets using very long run data. Daily data is divided into five-yearly subsamples and subjected to linear and nonlinear tests to...

This paper develops a tractable macroeconomic model with a banking sector in which banks face endogenous borrowing constraints. There is no uncertainty about economic fundamentals. Banking bubbles can emerge through a positive feedback loop mechanism. Changes in household confidence can cause...

We formalize the Keynesian insight that aggregate demand driven by sentiments can generate output fluctuations under rational expectations. When production decisions must be made under imperfect information about demand, optimal decisions based on sentiments can generate stochastic...

This paper provides a method to analytically (or tractably) solve (S,s) inventory policies in general equilibrium. This solution method can handle large state space with many state variables, such as multiple capital stocks, lagged aggregate investment and consumption, and other predetermined...