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...

This research studies the impact of macroeconomic announcement surprises on daily U.S. Treasury excess returns during the heart of Alan Greenspan's tenure as Federal Reserve Chair, addressing the possible limitations of standard static regression (SSR) models, which may suffer from omitted...

Due to the smoothing problem with appraisal-based indices, there is uncertainty about the true volatility of value change returns on real estate markets. The selection of unsmoothing procedures proposed in the literature obviously cannot remedy this. The article argues that it is hardly possible...

This study develops a comprehensive econometric framework for assessing market efficiency in sustainability indices through rolling fractional integration analysis. We employ four fractional integration estimators (Andrews-Guggenberger, Robinson GSE, GPH, and FELW) with formal statistical...

This study investigates the volatility of the Israeli corporate bond market, where corporate bonds are traded on a Limit Order Book (LOB) exchange with high retail trading activity. Using data from the Tel-Bond 20 and Tel-Bond 60 indices, we estimate various asymmetric GARCH models to capture...

This study investigates the weak-form efficiency and asymmetric multifractal scaling behavior of rare earth stock indices in the global, U.S. and Chinese markets during the trade war and the COVID-19 period. We examine the scaling behavior across overall, upward (bullish), and downward (bearish)...

Although momentum strategies result in abnormal profitability, thereby challenging the efficient market hypothesis (EMH), concerns persist regarding their reliability due to their significant volatility and susceptibility to substantial losses. In this study, we investigate the limitations of...

This study examines the impact of futures trading on market efficiency and price discovery in the U.S. real estate investment trusts (REITs) market. First, we present inconclusive evidence regarding efficiency improvement in the U.S. REIT spot market following the introduction of futures...

This study provides a comprehensive assessment and synthesis of the literature on short-selling. It performs a lexicometric analysis, providing a quantitative review of 1093 peer-reviewed journal articles to identify and illustrate the main themes in short-selling research. Almost half the...

This paper investigates the time-varying efficiency of Western European stock markets and examines how macroeconomic events defined as endogenous and exogenous shocks influence the degree of efficiency by either long-range dependence or mean reverting. We apply a rolling-window detrended...

This paper aims to deliver a comprehensive analysis of the theories and concepts that have formed the foundational link between two separate academic fields: finance and economics, resulting in the emergent field of financial economics. The main schools of thought can be divided, with a...

Comparing the Efficient Market Hypothesis and Behavioral Finance, the Adaptive Markets Hypothesis (AMH), which identifies the extremes of these two hypotheses and adapts them to each other, argues that calendar anomalies can coexist, but also focuses on how investor behavior reacts to changing...

This study investigates the effect of the annual "No-Smoking Day" on the stock performance of British American Tobacco (BATS) and Imperial Brands (IMB) from 1997 to 2023. Our findings reveal a significant negative impact of No-Smoking Wednesdays on BATS, with a moderate but statistically...

This paper examines the impact of complex yet precise language, particularly financial jargon, on information dissemination and ultimately market efficiency. As a natural laboratory, we analyze the information exchanged during earnings conference calls, where we instrument jargon with the Plain...

This research employs Multifractal Detrended Fluctuation Analysis (MFDFA) to investigate multifractal properties in financial variables, including Bitcoin prices and economic indicators. Spanning 2019-2022, the analysis reveals multifractal scaling not only in Bitcoin prices, but also in...

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....

The financial valuation of professional football players is influenced by multiple factors that evolve throughout a player's career. This study examines these determinants using Gradient Boosting Machine Learning models, segmented by three age categories and three playing positions to capture...

The Covid-19 pandemic profoundly disrupted global economies and financial systems, alte-ring investor behavior and challenging traditional market dynamics. Among these disruptions, calendar anomalies, which challenge the efficient market hypothesis, offer a unique lens to assess market...

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...

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...

While sports betting markets share similarities with traditional financial markets, they are more accessible for empirical research thanks to availability of high-quality data, straightforward betting procedures, and the finite duration of events. As a result, they are often analyzed for market...