Search Results - subject_exact:"Effizienzmarkthypothese"

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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638920

Feedback effects, market valuations, and real efficiency

Park, Junghum - 2026

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643213

The fallacy of concentration

Kritzman, Mark; Turkington, David - 2026

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666807

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

Hegarty, Tadgh; Whelan, Karl - 2025

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

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015485687

A law and economic analysis of trading through dark pools

Ntourou, Artemisa; Mallios, Aineas - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372156

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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374212

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015210351

Rewiring repo

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015271468

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272951

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272991

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

Ours, Jan C. van - 2025

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

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

Shynkevich, Andrei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330734

Subjective probabilities under behavioral heuristics

Rahman, Oriana; Semenov, Andrei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331645

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331959

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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339637

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358006

Efficiency in the early stages of carbon markets : the case of the Korean emissions trading scheme

Yoon, Beomseok; Karali, Berna - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190052

Behavioral interventions and market efficiency : the case of a volatile retail electricity market

Baltaduonis, Rimvydas; Jaraitė, Jūratė; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190625

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Behavioral Interventions and Market Efficiency : The Case of a Volatile Retail Electricity Market

Baltaduonis, Rimvydas; Jaraite, Jurate; Kazukauskas, Andrius - 2022

Book / Working Paper

Stochastic exchange rate dynamics, intervention dynamics and the market efficiency hypothesis

Drakonakis, Emmanouil; Kotsios, Stelios - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195774

Insider filings as trading signals : does it pay to be fast?

Möllenhoff, Steffen - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015200198

Does improving stock market information efficiency promote firms' high-quality development?

Geng, Xiaoxu; He, Muyuan; He, Chengying; Jiang, Yuexiang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015327254

ESG rating adjustment and capital market pricing efficiency : evidence from China

Ruan, Lei; Li, Jianing; Huang, Siqi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015327567

Tokenization and Financial Market Inefficiencies

Agur, Itai - 2025

Most financial assets are digital today. Tomorrow, they may be tokenized. Tokenization implies recording and transferring assets on a widely shared and trusted digital ledger that can be programmed. Interest in tokenization is strong and experiments abound, but what are the consequences of this...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015328077

Feedback effects and rational mispricing in markets

Choo, Lawrence; Kaplan, Todd R.; Zultan, Ro'i - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015386511

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Feedback effects and rational mispricing in markets

Choo, Lawrence; Kaplan, Todd R.; Zultan, Ro'i - 2025

Book / Working Paper

Quality-driven price dispersion : implications for testing market efficiency

Kono, Hisaki; David, Ernst; Ralandison, Tsilavo; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015418400

Emergence and evolution of financial economics

Šlampiaková, Lea - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015418664

Audit report readability and information efficiency : evidence from the Tehran Stock Exchange

Rajabalizadeh, Javad; Schadewitz, Hannu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015423906

COVID-19 and persistence in the stock market : a study on a leading emerging market

Bhattacharjee, Anindita; Nandy, Monomita; Lodh, Suman - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463854

Centralized vs decentralized markets : the role of connectivity

Alfarano, Simone; Banal-Estañol, Albert; Camacho-Cuena, Eva - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464350

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Centralized vs decentralized markets : the role of connectivity

Alfarano, Simone; Banal-Estañol, Albert; Camacho-Cuena, Eva - 2024

Book / Working Paper

Centralized vs decentralized markets : the role of connectivity

Alfarano, Simone; Banal-Estañol, Albert; Camacho-Cuena, Eva - 2024

Book / Working Paper

Centralized vs decentralized markets : the role of connectivity

Alfarano, Simone; Banal-Estañol, Albert; Camacho-Cuena, Eva - 2024

Book / Working Paper

Price discovery and efficiency in uniswap liquidity pools

Alexander, Carol; Chen, Xi; Deng, Jun; Fu, Qi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464875

Trading games : beating passive strategies in the bullish crypto market

Palazzi, Rafael Baptista - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464916

10-K complexity, analysts' forecasts, and price discovery in capital markets

Diaz, Jamie; Njoroge, Kenneth; Shane, Philip B. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467559

Betting on momentum in contests

Ötting, Marius; Deutscher, Christian; Singleton, Carl; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472502

Informational efficiency of cryptocurrency markets

Nimalendran, Mahendrarajah; Pathak, Praveen; Petryk, Mariia - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451338

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Informational Efficiency of Cryptocurrency Markets

Nimalendran, Mahendrarajah; Pathak, Praveen; Petryk, Mariia - 2021

Book / Working Paper

Commodity financialization and firm investment : implications for market efficiency and economic stability in emerging markets

Yang, Baochen; Xu, Jingru; Zhang, Yongjie; Geng, Peixuan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015454388

Fragmentation in European equity markets since 2019

Danieli, Lorenzo; Fruzza, Raoul; Le Moign, Caroline - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455059

Predicting market reactions to news : an llm-based approach using spanish business articles

Villota, Jesús - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015410323

Multifractal analysis of Bitcoin price dynamics

Bucur, Cristian; Tudorică, Bogdan-George; Bâra, Adela; … - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015413228

Factor investing with delays

Dickerson, Alexander; Nozawa, Yoshio; Robotti, Cesare - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432765

Dynamic financial valuation of football players : a machine learning approach across career stages

Khalife, Danielle; Yammine, Jad; Chbat, Elias; Zaki, … - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015433940