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Unbiased Disagreement and the Efficient Market Hypothesis.

Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine

Can investors with irrational beliefs be neglected as long as they are rational on average ? Does unbiased disagreement … this paper that there is an important impact of unbiased disagreement on the behavior of financial markets, even though the … higher risk premia in the long run (instead of a flat structure), momentum in stock returns in the short run, more variance …

Persistent link: https://www.econbiz.de/10008529672

Eid Mawlid al-Nabi, Eid al-Fitr and Eid al-Adha; optimism and impact on analysts' recommendations : evidence From MENA region

Satt, Harit - In: Arab economic and business journal 12 (2017) 1, pp. 57-67

This study investigates holidays’ effect in analyst recommendations in the MENA countries stock markets between 2004 and 2015. The findings show that on Pre-Holidays, analysts tend to issue pessimistic recommendations, and issue optimistic recommendations on Post- Holidays. Prior literature on...

Persistent link: https://www.econbiz.de/10011820770

The Ramadan effect : illusion or reality?

Sonjaya, Azwar Ramadhana; Wahyudi, Imam - In: Arab economic and business journal 11 (2016) 1, pp. 55-71

Empirical tests of the efficient market hypothesis (EMH) have been repeated by many researchers with varying results, with several supporting it and others finding no clear evidence for it. One of the results that weakens the EMH is the study of such anomalies as the Ramadan effect. Anomaly...

Persistent link: https://www.econbiz.de/10011820977

Bubbles as Violations of Efficient Time-Scales

Sohn, H. - 2017

It is commonly overlooked that the concept of market efficiency embowers a time-dimension. Illustrating with an example from the class of persistent random walks, we show that a price process can be a martingale on one time-scale but inefficient on another. This means that just as market...

Persistent link: https://www.econbiz.de/10012942063

Day of the week and the cross-section of return

Birru, Justin - 2017

Long-short anomaly returns are strongly related to the day of the week. Anomalies for which the speculative leg is the short (long) leg experience the highest (lowest) returns on Monday. The opposite pattern is observed on Fridays. The effects are large; Monday (Friday) alone accounts for over...

Persistent link: https://www.econbiz.de/10011810889

Financial Crises in Efficient Markets : How Fundamentalists Fuel Volatility

Szafarz, Ariane - 2017

When a financial crisis breaks out, speculators typically get the blame whereas fundamentalists are presented as the safeguard against excessive volatility. This paper proposes an asset pricing model where two types of rational traders coexist: short-term speculators and long-term...

Persistent link: https://www.econbiz.de/10012975801

Hysteresis in price efficiency and the economics of slow moving capital

Dow, James - 2020

Will arbitrage capital flow into markets experiencing shocks, mitigating adverse effects on price efficiency? Not necessarily. In a dynamic model with privately informed capital-constrained arbitrageurs, price efficiency plays a dual role, determining both the profitability of new arbitrage and...

Persistent link: https://www.econbiz.de/10012852271

Rational Quantitative Trading in Efficient Markets

Rossi, Stefano - 2020

We present a model where quantitative trading − trading strategies based on the quantitative analysis of prices, volumes, and other asset and market characteristics − is systematically profitable for sophisticated traders whose only source of private information is knowing better than other...

Persistent link: https://www.econbiz.de/10012857601

Collateralisation bubbles when investors disagree about risk

Broer, Tobias; Kero, Afroditi - C.E.P.R. Discussion Papers - 2014

, raising prices. More complex collateralised contracts, like CDOs, can increase prices further. In contrast, with disagreement …

Persistent link: https://www.econbiz.de/10011084220

The Cycle of Rents : A Model of Rational Bull-and-Bear Cycles in an Efficient Market

Gracia Rodríguez, Eduard - 2020

A widespread misbelief asserts that an efficient market would arbitrage out any cyclical or otherwise partially-predictable, non-random-walk pattern on the observed market prices time series. Hence, when such patterns are observed, they are often attributed to either irrational behavior or...

Persistent link: https://www.econbiz.de/10012832295