Recent literature in empirical finance is surveyed in its relation to underlying behavioral principles, principles which come primarily from psychology, sociology, and anthropology. The behavioral principles discussed are: prospect theory, regret and cognitive dissonance, anchoring, mental...

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Aim/purpose - The aim of this paper is to verify whether extremely high values of market value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other. Design/methodology/approach -...

This paper examines the weak-form efficient markets hypothesis for the Nigerian stock market by testing for random walks in the monthly index returns over the period 1984-2009. The results of the non-parametric runs test show that index returns on the Nigerian Stock Exchange (NSE) display a...

In this study, we have attempted to seek evidence for weak-form of market efficiency for KSE 100 Index because over the last five years KSE 100 Index has shown substantial growth as compared to other emerging stock markets. Index returns have been studied from 1st January, 1992 to 30th April,...

This article investigates the random walk behavior of CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa) foreign exchange rates against the US dollar using weekly data from February 2007 to April 2012. Using variance ratio tests, the results suggest that the nominal exchange...

This paper tests the weak-form efficient market hypothesis for Korean industry-sorted portfolios. Based on a panel variance ratio approach, we find significant mean reversion of stock returns over long horizons in the pre Asian currency crisis period but little evidence in the post-crisis...

This paper examines whether a firm's takeover vulnerability increases the scope of speculative noise trading for its stock. Specifically, the paper tests whether takeover vulnerability overly motivates investors to acquire and trade on private information and thus causes them to react even to...