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  • Search: subject_exact:"Market efficiency"
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Subject
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Effizienzmarkthypothese 7,567 Efficient market hypothesis 7,564 Theorie 2,369 Theory 2,358 Börsenkurs 2,112 Share price 2,098 Aktienmarkt 1,667 Stock market 1,646 Schätzung 1,223 Estimation 1,214 market efficiency 1,074 Capital income 1,020 Kapitaleinkommen 1,020 Market efficiency 981 USA 831 United States 824 Finanzmarkt 785 Financial market 782 Anlageverhalten 692 Behavioural finance 685 Volatility 482 Volatilität 477 Wertpapierhandel 389 Welt 388 Securities trading 384 World 383 CAPM 364 Prognoseverfahren 360 Deutschland 359 Ankündigungseffekt 357 Forecasting model 355 Announcement effect 352 Portfolio selection 347 Portfolio-Management 347 Germany 346 Börse 335 Bourse 319 Market Efficiency 310 Finanzanalyse 308 Financial analysis 306
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Online availability
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Free 2,675 Undetermined 1,917
Type of publication
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Article 5,278 Book / Working Paper 3,449 Other 5
Type of publication (narrower categories)
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Article in journal 4,370 Aufsatz in Zeitschrift 4,370 Graue Literatur 1,209 Non-commercial literature 1,209 Working Paper 1,197 Arbeitspapier 1,107 Hochschulschrift 360 Aufsatz im Buch 331 Book section 331 Thesis 317 Bibliografie enthalten 82 Bibliography included 82 Collection of articles written by one author 57 Sammlung 57 Article 55 Collection of articles of several authors 43 Sammelwerk 43 Systematic review 29 Übersichtsarbeit 29 Conference paper 23 Konferenzbeitrag 23 Aufsatzsammlung 21 Konferenzschrift 14 Amtsdruckschrift 13 Government document 13 Case study 11 Fallstudie 11 Conference proceedings 9 Forschungsbericht 9 Reprint 9 Lehrbuch 6 Textbook 6 Glossar enthalten 5 Glossary included 5 Mehrbändiges Werk 4 Multi-volume publication 4 Congress Report 3 Handbook 3 Handbuch 3 Mikroform 3
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Language
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English 7,461 Undetermined 746 German 371 French 57 Spanish 43 Portuguese 17 Italian 13 Polish 9 Czech 5 Russian 5 Hungarian 3 Lithuanian 3 Swedish 2 Danish 1 Croatian 1 Dutch 1 Turkish 1
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Author
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Caporale, Guglielmo Maria 54 Kirchler, Michael 42 Gil-Alaña, Luis A. 37 Huber, Jürgen 32 Plastun, Alex 31 Hirshleifer, David 30 Subrahmanyam, Avanidhar 30 Kim, Jae H. 24 Paul, Rodney J. 24 Vives, Xavier 24 Theissen, Erik 23 Weinbach, Andrew P. 23 Teoh, Siew Hong 21 Charles, Amélie 20 Shiller, Robert J. 20 Darné, Olivier 18 Pesaran, M. Hashem 18 Kochman, Ladd Michael 17 Menkhoff, Lukas 17 Chordia, Tarun 16 Chung, Dennis Y. 16 Hrazdil, Karel 16 Krieger, Kevin 16 Lim, Kian-Ping 16 Lo, Andrew W. 16 Schmidt, Carsten 16 Urquhart, Andrew 16 Betzer, André 15 Fafchamps, Marcel 14 Higgs, Helen 14 Ljungqvist, Alexander 14 Makarenko, Inna 14 Metghalchi, Massoud 14 Milionis, Alexandros E. 14 Mittnik, Stefan 14 Sensoy, Ahmet 14 Potì, Valerio 13 Szafarz, Ariane 13 Vaughan Williams, Leighton 13 Zhang, Lu 13
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Institution
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National Bureau of Economic Research 90 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 58 EconWPA 26 C.E.P.R. Discussion Papers 14 Université Paris-Dauphine (Paris IX) 10 Center for Economic Research <Tilburg> 7 HAL 6 Society for Computational Economics - SCE 6 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 6 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 5 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 5 School of Management, Yale University 5 Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät 4 Institut für Finanzwissenschaft, Fakultät für Volkswirtschaft und Statistik 4 Institute for the Study of Labor (IZA) 4 NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 4 Nationalekonomiska institutionen, Handelshögskolan 4 School of Economics and Finance, Business School 4 Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 4 Agricultural and Applied Economics Association - AAEA 3 Bank of Greece 3 Center for Financial Studies 3 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 3 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 3 Centre for Economic Policy Research 3 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 3 Department of Economics and Finance, College of Business and Economics 3 Department of Economics, Auburn University 3 Erasmus Research Institute of Management 3 European Association of Agricultural Economists - EAAE 3 Faculdade de Economia, Universidade do Porto 3 Faculteit Economie en Bedrijfskunde, Universiteit Gent 3 Faculty of Economics, University of Cambridge 3 Graduate School of Economics, Osaka University 3 Henley Business School, University of Reading 3 Institut für Weltwirtschaft (IfW) 3 International Association of Sport Economists - IASE 3 North American Association of Sports Economists - NAASE 3 Springer Fachmedien Wiesbaden 3 UNIVERSIDAD EAFIT 3
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Published in...
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Journal of banking & finance 98 International review of financial analysis 90 NBER working paper series 90 Journal of financial economics 87 Working paper / National Bureau of Economic Research, Inc. 82 Applied economics 79 Applied financial economics 74 Finance research letters 72 NBER Working Paper 67 Applied economics letters 59 MPRA Paper 57 The journal of futures markets 57 International review of economics & finance : IREF 50 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 50 Economics letters 48 The European journal of finance 48 Review of quantitative finance and accounting 47 The review of financial studies 47 Research in international business and finance 45 Journal of international financial markets, institutions & money 44 Discussion paper / Centre for Economic Policy Research 43 International journal of economics and finance 40 The journal of finance : the journal of the American Finance Association 35 Pacific-Basin finance journal 34 Journal of financial markets 33 Finance India : the quarterly journal of Indian Institute of Finance 32 Journal of international money and finance 32 Energy economics 31 International journal of economics and financial issues : IJEFI 31 Journal of economics and finance 30 Journal of risk and financial management : JRFM 30 Investment management and financial innovations 28 Journal of empirical finance 28 Economic modelling 27 Global finance journal 27 Journal of economic behavior & organization : JEBO 26 Management science : journal of the Institute for Operations Research and the Management Sciences 26 The journal of real estate finance and economics 26 Journal of emerging market finance 25 Journal of sports economics 24
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Source
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ECONIS (ZBW) 7,671 RePEc 864 EconStor 149 BASE 40 USB Cologne (business full texts) 7 ArchiDok 1
Showing 1 - 50 of 8,732
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Mirror, mirror on the wall, who is transitioning amongst them all?
Hinsche, Isabelle Cathérine; Klump, Rainer - 2023
In order to reach climate neutrality by 2050, the European Union is taking action in the form of extensive sustainability regulations with the aim to push the private sector towards sustainable economic activities. In this context, a new instrument to finance a company's sustainability...
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Yield curve sensitivity to investor positioning around economic shocks
Altmeyer, Patrick; Boneva, Lena; Kinston, Rafael; Saha, … - 2023
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Beyond Fama-French factors : alpha from short-term signals
Blitz, David; Hanauer, Matthias; Honarvar, Iman; … - In: Financial analysts journal : FAJ 79 (2023) 4, pp. 96-117
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The efficiency of the London Gold Fixing : from Gold Standard to hoarded commodity (1919-68)
O'Connor, Fergal A.; Lucey, Brian M. - 2023
This paper presents and explains the newly rediscovered and transcribed daily market gold price from 1919-1968 for the world's main gold market during the period, the London Gold Fixing Auction. The paper highlights several novel features previously not discussed in the literature, such as gold...
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The day-of-the-week anomaly in light of the COVID-19 pandemic on an example of selected OMX indices
Bolek, Monika; Gniadkowska‑Szymańska, Agata; … - In: Comparative economic research : Central and Eastern Europe 26 (2023) 2, pp. 129-148
This paper analyzes market efficiency (EMH) with the day-of-the-week effect and the changes that might appear after the outbreak of the COVID-19 pandemic, based on the example of the OMX Exchange and its indices. Before the pandemic, only the OMX Baltic All‑share index was efficient; during...
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Ride the trend : is there spread momentum profit in the US commodity markets?
Shang, Quanbiao; Serra, Teresa; García, Philip - In: Journal of agricultural economics : JAE 74 (2023) 1, pp. 24-47
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The effect of Airbnb announcements on hotel stock prices
Teitler-Regev, Sharon; Tavor, Tchai - In: Australian economic papers 62 (2023) 1, pp. 78-100
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Fundamental volatility and financial stability
Desgranges, Gabriel; Gauthier, Stéphane - 2023
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Value and contrarian investment strategies : evidence from Indian stock market
Jagirdar, Sharneet Singh; Gupta, Pradeep Kumar - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19
Value and contrarian investment strategies are two basic approaches which are widely used by investors worldwide. Both value and contrarian investment strategies are assumed to pick the same stocks even though the approach to picking the stocks is different. Furthermore, both investment...
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Book-to-market, mispricing, and the cross-section of corporate bond returns
Bartram, Söhnke M.; Grinblatt, Mark; Nozawa, Yoshio - 2023
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Filtration enlargement-based time series forecast in view of insider trading
Bennett, Luke M.; Hu, Wei - In: Journal of economic surveys 37 (2023) 1, pp. 112-140
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The Adaptive dynamics of the Halloween effect : evidence from a 120-Year sample from a small European market
Lobão, Júlio; Costa, Ana C. - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-11
The Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October). This paper examines the time-varying behavior of the Halloween effect within a new historical dataset that covers...
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Forecasting soccer matcheswith betting odds : a tale of two markets
Hegarty, Tadgh; Whelan, Karl - 2023
We compare the properties of betting market odds set in two distinct markets for a large sample of European soccer matches. We confirm inefficiencies in the traditional market for bets on a home win, an away win or a draw as found in previous studies such as Angelini and De Angelis (2019), in...
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Effects of electronic markets on prices, spikes in prices, and price dispersion : a case study of the tea market in India
Rajkhowa, Pallavi; Kornher, Lukas - In: Agribusiness : an international journal 39 (2023) 4, pp. 1117-1138
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Efficiency of Indian equity futures market : an empirical analysis with reference to national stock exchange
Roy, Partha Sarathi; Chakraborty, Tanupa - In: Global business review 24 (2023) 6, pp. 1326-1352
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Price Discovery Before Earnings Announcement : Evidence from Electricity Usage
Peng, Qilin - 2022
Modern society is driven by electricity usage. I construct a proxy tracing regional economic intensity using electricity usage provided by utility firms in the United States from 1990 to 2020. After comparing electricity usage growth with common regional consumption measures, I find it a leading...
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Testing the accruals anomaly based on the speed of price adjustment
Choy, Siu Kai; Lobo, Gerald J.; Tan, Yongxian - In: The European journal of finance 28 (2022) 16, pp. 1664-1684
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The profitability of technical analysis during the COVID-19 market meltdown
Lento, Camillo; Gradojevic, Nikola - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-19
This article explores the profitability of technical trading rules around the COVID-19 pandemic market meltdown for the S&P 500 index, Bitcoin, Comex gold spot, crude oil WTI, and the VIX. Trading rule profits are estimated from January to May 2020, including three sub-periods, on a...
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Credit risk, regulatory costs and lending discrimination in efficient residential mortgage markets
Nickerson, David B. - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-17
Significant differences in loan terms between demographically distinct groups of borrowers in the United States are often interpreted as evidence of systematic ethnic, racial or gender discrimination by lenders. The appearance and interpretation of such discrimination has long been a...
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Stock price reaction to an arrangement approval in restructuring proceedings : the case of Poland
Prusak, Błażej; Potrykus, Marcin - In: International journal of management and economics 58 (2022) 3, pp. 279-298
The study aims to empirically analyze the reaction of stock prices to the information about the conclusion and acceptance of a debtor-creditor arrangement under restructuring proceedings of companies listed on the stock exchange in Poland. The following main research hypothesis was verified:...
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Modeling momentum and reversals
Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10
Stock prices are well known to exhibit behaviors that are difficult to model mathematically. Individual stocks are observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we show that individual stocks can be modeled by simple...
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Pricing efficiency in livestock auction markets : a two-tier frontier approach
Verteramo Chiu, Leslie J.; Tauer, Loren W.; Gröhn, … - In: Agricultural economics : the journal of the … 53 (2022) S1, pp. 139-151
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ICTs to address information inefficiencies in food supply chains
Van Campenhout, Bjorn - In: Agricultural economics : the journal of the … 53 (2022) 6, pp. 968-975
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The wisdom of no crowds: the reaction of betting markets to lockdown soccer games
Hegarty, Tadgh; Whelan, Karl - 2022
The support of home spectators is one of the contributing factors to the home advantage effect in sports matches. The Covid-19 pandemic led to European soccer matches being played without spectators. We show that betting markets adjusted swiftly to account for a reduced home advantage in both...
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Labor market information and predictable returns
Kim, Jae Hyoung - 2022
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Time evolution of market efficiency and multifractality of the Japanese stock market
Takaishi, Tetsuya - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-12
This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the Japanese markets are inefficient in their...
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Valuation of new trademarks
Hsu, Po-Hsuan; Li, Dongmei; Li, Qin; Teoh, Siew Hong; … - In: Management science : journal of the Institute for … 68 (2022) 1, pp. 257-279
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Three major crises and Asian emerging market informational efficiency : a case of Pakistan Stock Exchange-100 Index
Said, Bahrawar; Shafiq ur Rehman; Raza, Muhammad Wajid - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-13
Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...
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Investigating joint market hypothesis during periods of financial distress and its implications
Enow, Samuel Tabot - In: International journal of economics and financial issues … 13 (2023) 2, pp. 46-50
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Hedging commodities in times of distress : the case of COVID-19
Magalhães, Luiz Augusto; Silva, Thiago Christiano; … - In: The journal of futures markets 42 (2022) 10, pp. 1941-1959
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Are fish markets in Central Malawi profitable and efficient? : performance of Diploxatodon spp. (Ndunduma) markets in Salima and Lilongwe districts
Phiri, Wedson; Limuwa, Moses; Dzanja, Joseph - In: Businesses 2 (2022) 2, pp. 201-213
The production of underexploited small fish species has surpassed that of bigger and more valuable species, such as Oreochromis species. However, profitability and efficiency of the key players in the marketing chain and system associated with these small fish species are yet to be understood....
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Influencers, inefficiency and fraud - The Bitcoin price discovery network under the microscope
Trimborn, Simon; Chen, Ying; Chen, Ray-Bing - In: CeNDEF working paper (2022) 5, pp. 1-62
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Market quality and short-selling ban during the COVID-19 pandemic : a high-frequency data approach
Ferreruela, Sandra; Martín, Daniel - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-29
The recent emergence of COVID-19 and the subsequent short-selling restriction (SSR) imposed on some equity markets provide us with a unique framework to analyze the effects of this kind of measure on market quality in the context of increasingly automated equity markets. We contribute to the...
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Are frontier African markets inefficient or adaptive? : application of rolling GARCH models
Obalade, Adefemi Alamu; Tshutsha, Akona; Mvuyana, Lungelo; … - In: Journal of Economics and Financial Analysis 6 (2022) 1, pp. 19-35
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COVID-19 pandemic and day-of-the-week anomaly in OMX markets
Bolek, Monika; Gniadkowska-Szymańska, Agata; Lyroudi, … - In: Central European economic journal 9 (2022) 56, pp. 158-177
This paper aims to discuss market efficiency due to the changes that appeared in this field after the COVID-19 outburst. The OMX exchange and its indices are taken into consideration because they represent markets not analysed in such a context before (a) Baltic: Estonia, Latvia and Lithuania;...
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Estimating dynamic market efficiency frontiers
Mu, Yali; Cramon-Taubadel, Stephan von - In: Journal of agricultural economics : JAE 73 (2022) 3, pp. 633-653
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The impact of corporate spin-offs on shareholders’ wealth : empirical evidence from India
Gupta, Deeksha; Kumar, Rahul; Chattopadhyay, Subir - In: Cogent economics & finance 10 (2022) 1, pp. 1-20
Corporate restructuring is a widely adopted mode of improving efficiency and firm performance and has been studied in different country contexts such as the US, Australia, and Europe. The aim of this paper is to examine the impact of spin-off announcements on the stock prices of parent firms in...
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The existence and historical development of the holiday effect on the Swedish stock market
Eidinejad, Shahin; Dahlem, Elena - In: Applied economics letters 29 (2022) 19, pp. 1855-1858
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Availability heuristic and reversals following large stock price changes : evidence from the FTSE 100
Matos, Diogo; Pacheco, Luís; Lobão, Júlio - In: Quantitative finance and economics 6 (2022) 1, pp. 54-82
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Social media and the stock markets : an emerging market perspective
Agarwal, Shweta; Kumar, Shailendra; Goel, Utkarsh - In: Journal of business economics and management 22 (2021) 6, pp. 1614-1632
There are numerous studies that examine the impact of social media on the stock market performance but there is a paucity of such evidences from the emerging economies. Today many multinational banks and other financial conglomerates from the developed countries are expanding their operations to...
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Spectral analysis and the death of value investing
Bezuidenhout, John-Morgan; Van Vuuren, Gary - In: Cogent economics & finance 9 (2021) 1, pp. 1-23
This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural...
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Stock market behavior after large price changes and winner-loser effect : empirical evidence from Pakistan
Rasheed, Muhammad Sahid; Sheikh, Muhammad Fayyaz; … - In: Journal of Asian finance, economics and business : JAFEB 8 (2021) 10, pp. 219-228
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Are sports betting markets semistrong efficient? Evidence from the COVID-19 pandemic
Meier, Pascal Flurin; Flepp, Raphael; Franck, Egon - 2021
This paper examines whether sports betting markets are semistrong-form efficient—i.e., whether new information is rapidly and completely incorporated into betting prices. We use the news of ghost matches in the top European football leagues due to the COVID-19 pandemic as the arrival of public...
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Can adaptive market hypothesis explain the existence of seasonal anomalies? : evidence from Dhaka Stock Exchange, Bangladesh
Akhter, Tahmina; Othman Yong - In: Contemporary economics 15 (2021) 2, pp. 198-223
This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Bangladesh and whether the time varying nature of the anomalies is in line with Adaptive Market Hypothesis (AMH). With this aim the research investigated whether the changes in market conditions, for example:...
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Informational frictions in financial markets
Hapnes, Erik - 2021
This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource allocation in the economy. The first...
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Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process
Wehrli, Alexander; Sornette, Didier - 2021
Puzzling deviations from the predictions of rational finance theory have been extensively documented empirically. In this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that prices fluctuate more than fundamentally justified....
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Investors' trading activity and information asymmetry : evidence from the Romanian stock market
Kampe, Cristina - In: Risks : open access journal 9 (2021) 8, pp. 1-19
This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on the Bucharest Stock Exchange (BVB) for the period 2004-2011. Using monthly returns for individual companies listed on BVB, stock market indices during the seven years...
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Market efficiency of euro exchange rates and trading strategies
Bošnjak, Mile; Novak, Ivan; Vlajčić, Davor - In: Naše gospodarstvo : NG 67 (2021) 2, pp. 10-19
This paper tests the hypothesis on market efficiency for returns on the euro against fifteen currencies while assuming predictability of returns, dependent on the sign and magnitude of endogenous shocks. Considering the properties of exchange rate returns, the quantile autoregression approach...
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Calendar effects on cryptocurrencies : not so straightforward
Konpanas Dumrongwong - In: Southeast Asian journal of economics 9 (2021) 1, pp. 1-26
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Constrained dealers and market efficiency
Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; … - 2021 - This version: November 4, 2021
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