Search Results - subject_exact:"Effizienzmarktthese"

Makers and takers : the economics of the Kalshi prediction market

Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2026 - Original version: September 2025, this version: January 2026

Since 2021, Kalshi has operated as the only federally licensed prediction market in the United States. Using transaction-level data on over 300,000 contracts, we provide the first systematic evidence on its pricing. Kalshi's contract prices are informative and improve in accuracy as markets...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605098

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Makers and takers : the economics of the Kalshi prediction market

Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2025

Book / Working Paper

Makers and takers : the economics of the Kalshi prediction market

Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2026 - Original version: September 2025, this version: January 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605098

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Makers and takers : the economics of the Kalshi prediction market

Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2025

Book / Working Paper

Bitcoin market efficiency analysis pre- and post-COVID-19 pandemic : an interrupted time series and ARIMAX approach

Makoni, Tendai; Mushori, Providence; Chikobvu, Delson - 2026

The COVID-19 pandemic constitutes one of the most significant exogenous shocks to global financial markets in recent history, raising questions about the robustness of market efficiency under extreme uncertainty. This study examines whether the pandemic affected the weak-form efficiency of the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628708

Diversifier, hedge, or safe haven? : Bitcoin's role against the Brazilian stock market during the COVID-19 turmoil

Dias, Vitor Fonseca Machado Beling; Malaquias, Rodrigo … - 2026

The main purpose of this study was to analyze the dynamics of the conditional correlation between Bitcoin and BOVA11 (a Brazilian stock market ETF that has seen a significant increase in foreign investors) across the pre-, during, and post-COVID-19 pandemic periods. This analysis allowed us to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638920

Feedback effects, market valuations, and real efficiency

Park, Junghum - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015641953

Exploring market efficiency with GRU-D neural networks : evidence from global stock markets

Ben Jbara, Abdelhamid; Rabah Gana, Marjene; Dakhlaoui, Mejda - 2026

This study revisits the Efficient Markets Hypothesis by employing a GRU-D neural network to predict stock return distributions across global equity markets, accounting for missing and irregular data. It examines whether stock returns exhibit statistically significant departures from purely...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643213

The fallacy of concentration

Kritzman, Mark; Turkington, David - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647175

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The fallacy of concentration

Kritzman, Mark; Turkington, David - 2025

Book / Working Paper

The inefficient markets hypothesis : a theory of casino capitalism

Hellwig, Christian - 2026

I develop a general equilibrium model of investment and equity markets in which departures from the Efficient Markets Hypothesis generate "Casino Capitalism": time-inconsistent, shorttermist firm decisions, firm-level over-investment coupled with inefficient liquidation of positiveNPV projects,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015666633

Measuring managerial skill using value added and alpha : evidence from the Korean equity fund market

Lee, Jaeram; Lee, Changjun - 2026

This paper aims to examine whether managerial skill can be effectively measured using value added and alpha in the Korean equity fund market. We document that fund managers generate positive and persistent skill when measured by both gross value added and gross alpha. Unlike equilibrium-based...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670042

Measuring and benchmarking time-varying market efficiency

Mu, Yali; Cramon-Taubadel, Stephan von; Rosero, Gabriel; … - 2026

This paper develops and implements an analytical framework combining spatial space techniques with panel stochastic frontier models to assess and benchmark time-varying market efficiency, with China's pork market serving as the empirical application. We analyze spatial and temporal dynamics in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015666807

Market efficiency when machines access information

Barbopoulos, Leonidas G.; Dai, Rui; Putnins, Talis J.; … - 2026 - This version: June 17, 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675307

A transfer learning approach for testing the adaptive market hypothesis : evidence from BWP/USD to cryptocurrency markets

Makatjane, Katleho; Shoko, Claris; Makatjane, Tiisetso - 2026

The efficient market hypothesis, which holds that prices completely reflect available information, is commonly used in financial market analysis. However, emerging empirical evidence shows that market efficiency develops with time, as posited by the adaptive market hypothesis (AMH), with...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059384

Equity valuation without DCF

Cho, Thummim; Polk, Christopher; Rogers, Robert - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016060053

Behavioral effects of capital market regulations on investor (ir)rationality and market (in)efficiency : evidence from MAD and TPD EU directives

El Hajjar, Samah; Ge̜bka, Bartosz; Duxbury, Darren; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016072657

The dual impact of on-chain and off-chain factors on Bitcoin market efficiency

Guo, Weiwei; Jahanshahloo, Hossein; Spokeviciute, Laima; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064416

Prior sentiment and returns around earnings announcements

Kazemi, H. Christopher; Makridis, Christos A. - 2026 - This draft: August 18, 2026

We develop a stylized model in which sentiment-driven demand creates a pre-announcement price wedge that is harder for arbitrageurs to offset when fundamental uncertainty is high. The model predicts that prior sentiment shifts expected post-announcement returns separately from the earnings...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083790

The information content of delayed block trades in cryptocurrency markets

Galati, Luca; De Blasis, Riccardo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064395

Forecasting soccer matches with betting odds : a tale of two markets

Hegarty, Tadgh; Whelan, Karl - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015440677

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Forecasting soccer matches with betting odds : a tale of two markets

Hegarty, Tadgh; Whelan, Karl - 2023

Book / Working Paper

Forecasting soccer matches with betting odds : a tale of two markets

Hegarty, Tadgh; Whelan, Karl - 2023

Book / Working Paper

The Inefficient Pricing of News

Didisheim, Antoine; Kelly, Bryan T.; Pourmohammadi, Mohammad - 2026

The stock market fails to efficiently process information in news text (Chen et al., 2026). But news itself is highly predictable by prevailing stock characteristics, which complicates inferences about market efficiency. After purging news of its predictable content, the resulting "news shocks"...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639414

From zero-intelligence to Bayesian learning : the effect of rationality on market efficiency

Giachini, Daniele; Mousavi, Shabnam; Ottaviani, Matteo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015485687

Does the issuance of green bonds improve stock price efficiency? : evidence from China's green bond market

Wen, Chunran; Wu, Xiao - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015650712

A law and economic analysis of trading through dark pools

Ntourou, Artemisa; Mallios, Aineas - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015202586

Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments : an agent-based modeling approach

Wang, Liming; Sun, Xuchu; Zhu, Hongliang; Li, Tangrong - 2025

This paper investigates the relationship among transaction taxes, high-frequency trading (HFT), and market quality. We use the agent-based modeling (ABM) approach to dynamically assess the impact of transaction taxes on market quality with and without high-frequency trading. Preliminary tests...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372156

Are carbon trading markets efficient? : a longitudinal investigation

Venugopal, Ajith; Maganini, Natália Diniz; Rasheed, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015633546

Market efficiency : do listed private equity ETFs adapt?

Hoelscher, Seth A.; Meek, Andrew C. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015575566

Gambling-motivated attention and improved market efficiency

Khanthavit, Anya - 2025

Information is incorporated into stock prices when investors trade; consequently, prices respond only to the information investors pay attention to. Because market efficiency requires rapid information dissemination and fully informative prices, attention necessarily affects the level of market...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015373948

Explaining and predicting momentum performance shifts across time and sectors

Mamais, Konstantinos; Thomakos, Dimitrios D.; Vlamis, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374212

Earnings Management and Price Informativeness

He, Zhiguo; Jiang, Wenxi; Xiong, Wei - 2026

We investigate the relationship between stock prices and future earnings in China's A-share market. In the cross-section, firms with higher market valuations report higher earnings over the subsequent one to five years, suggesting that stock prices contain information about future fundamentals....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015653942

Wish or reality? : on the exploitability of triangular arbitrage in cryptocurrency markets

Muck, Matthias; Schmidl, Thomas; Wolf, Julian - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015210351

Fear of the draw, consumption and mistaken heuristics : profit opportunities in the football betting market

Lezana, Bruce - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015669545

Pricing efficiency of European carbon futures market during the COVID-19 pandemic

Tripathi, Abhinava; Vadhava, Charu; Jha, Ravi Raushan - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667492

Rewiring repo

Chang, Jin Wook; Klee, Elizabeth; Yankov, Vladimir - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015271468

Asset pricing models and market efficiency : using machine learning to explain stock market anomalies

Kolari, James W.; Liu, Wei; Huang, Jianhua Z.; Liao, Huiling - 2026

Part I Introduction -- 1. The Rise of Anomalies: Challenging Theory and Practice in Finance -- 2. Anomaly Stock Portfolios -- Part II Anomalies Literature and Asset Pricing Models -- 3. Prominent Asset Pricing Models and Anomaly Portfolio Returns -- 4. The ZCAPM and Anomaly Portfolio Returns --...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015576529

Belief-neutral efficiency in financial markets

Beißner, Patrick; Riedel, Frank - 2025

Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk-sharing motives. We demonstrate that such unwarranted betting behavior in market equilibrium can be mitigated by introducing nonlinear pricing for ambiguous contracts, without...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015272951

Unravelling the return and volatility interdependencies between Indian equity ETFs and benchmark indices

Sabu, Marvin; Bhat, Rajani B. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677421

Incomplete markets as correlated distortions

Armangue-Jubert, Tristany; Pietrobon, Davide; Ruggieri, … - 2025

We argue that capital misallocation arises endogenously due to incomplete consumption insurance. We model risk-averse entrepreneurs with heterogeneous productivity who face idiosyncratic output shocks and choose how much capital to rent before uncertainty unfolds. We show that incomplete markets...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015272991

Non-transitive patterns in sports match outcomes : a profitable anomaly

Ours, Jan C. van - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672508

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Non-transitive patterns in sports match outcomes : a profitable anomaly

Ours, Jan C. van - 2025

Book / Working Paper

Non-transitive patterns in sports match outcomes : a profitable anomaly

Ours, Jan C. van - 2025

Book / Working Paper

Empirical evidence of the holiday effect on the Indian stock market

Kumar, Gaurav; Bhartendu Singh - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677425

Pricing skewed assets in multi-asset experimental markets

Zhao, Shuchen - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061242

Wine market efficiency : is glass half full or half empty?

Shynkevich, Andrei - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330734

Subjective probabilities under behavioral heuristics

Rahman, Oriana; Semenov, Andrei - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331645

Who wins and who loses in prediction markets? : evidence from polymarket

Akey, Pat; Grégoire, Vincent; Harvie, Nicolas; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015666294

Market efficiency and its determinants : macro-level dynamics and micro-level characteristics of cryptocurrencies

Bouteska, Ahmed; Sharif, Taimur; Isskandarani, Layal; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331959

Do investors fully understand the seasonality in accruals?

Choy, Siu Kai; Lobo, Gerald J.; Tan, Yongxian - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070095

Determinants of mutual fund flows in the Indian stock market : insights through the nonlinear autoregressive distributed lag bounds-testing approach with structural breaks

Kumari, Madhu; Debnath, Prallad - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016073296

Impact of geopolitical turmoil in the developing European stock markets vs. the global benchmark indices : an event study analysis of the Russo-Ukrainian war

Grinius, Meinardas; Baležentis, Tomas - 2025

The capital markets are sensitive to geopolitical events. It is important to provide evidence of reactions to specific geopolitical events in order to identify general patterns and effective risk management strategies. This study follows the event study approach to assess the reactions of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338641

Bank transparency and market efficiency

Beyer, Andreas; Dautovic, Ernest - 2025

This paper explores the impact of bank transparency on market efficiency by comparing banks that disclose supervisory capital requirements to those that remain opaque. Due to the informational content of supervisory capital requirements for the market this opacity might hinder market efficiency....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339637

Herding and informed trading : evidence from Chinese equity markets

Ge̜bka, Bartosz; Jin, Han; Kallinterakis, Vasileios; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070623

A test of the efficiency of a given portfolio in high dimensions

Chernov, Mikhail; Kelly, Bryan T.; Malamud, Semyon; … - 2025 - This version: March 13, 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015358006

Empirical analysis of lead-lag relationship in the Indian stock market amid the COVID-19 pandemic

Manogna R. L.; Singh, Aditya Anil - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677354