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Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and … that suit their risk preferences and behavioral traits predicted from behavioral models. Finally, when EMH, anomalies and …

Persistent link: https://www.econbiz.de/10012237439

Forward discount bias : is it near-rationality in the foreign exchange market?

Gruen, David W. R. - In: The economic record : er 71 (1995) 213, pp. 157-166

Persistent link: https://www.econbiz.de/10001186623

Data-driven investigation into anomaly trading strategies : evidence with econometrics

French, Jordan - 2019

Persistent link: https://www.econbiz.de/10012126157

Understanding alpha decay

Pénasse, Julien - In: Management science : journal of the Institute for … 68 (2022) 5, pp. 3966-3973

Persistent link: https://www.econbiz.de/10013368971

Systematic risk changes, negative realized excess returns and time-varying CAPM beta

Novák, Jiri - In: Finance a úvěr 65 (2015) 2, pp. 167-190

Persistent link: https://www.econbiz.de/10010504700

Portfolio inefficiency and the cross-section of expected returns

Kandel, Shmuel; Stambaugh, Robert F. - 1994 - Rev

Persistent link: https://www.econbiz.de/10000888001

Portfolio inefficiency and the cross-section of expected returns

Kandel, Shmuel - 1994

Persistent link: https://www.econbiz.de/10000888096

Portfolio Inefficiency and the Cross-Section of Expected Returns

Kandel, Shmuel - 2011

A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially...

Persistent link: https://www.econbiz.de/10013118691

Investigating mean reversion in financial markets using Hurst model

Enow, Samuel Tabot - 2023

Persistent link: https://www.econbiz.de/10014413995

Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies

Tomat, Gian Maria - 2023

Chapter 1 Introduction -- Chapter 2 Efficient markets -- Chapter 3 Equity premium -- Chapter 4 The dividend ratio model -- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market -- Chapter 9 Derivative securities -- Chapter 10...

Persistent link: https://www.econbiz.de/10014337024