We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on …

of in-sample and out-of-sample predictability across different stock markets. Overall, these findings suggests that … return predictability is not a uniform and a universal feature across international capital markets. …

this, it is deduced that systematic pricing errors occur in equity markets which hence can not be efficient in the Effcient …One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is … investment style indices from an integrated European Equity market, all usual assumptions are dropped. This is achieved by …

risk averse, asset markets large, and variance-mean ratios of asset returns high in fully revealing rational expectations …

The goal of this paper is to study how informational frictions affect asset liquidity in OTC markets in a laboratory …