Testing market efficiency with the pricing kernel
Year of publication: |
2019
|
---|---|
Authors: | Barone-Adesi, Giovanni ; Sala, Carlo |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 25.2019, 13, p. 1166-1193
|
Subject: | dominating trading strategies | fundamental theorems of asset pricing | market efficiency | Market information | pricing kernel | Theorie | Theory | Effizienzmarkthypothese | Efficient market hypothesis | CAPM | Börsenkurs | Share price | Anlageverhalten | Behavioural finance |
-
Testing market efficiency with the pricing kernel
Barone-Adesi, Giovanni, (2019)
-
The race to exploit anomalies and the cost of slow trading
Kaplanski, Guy, (2023)
-
Review on efficiency and anomalies in stock markets
Woo, Kai-yin, (2020)
- More ...
-
Conditioning the information in portfolio optimization
Sala, Carlo, (2015)
-
Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set
Sala, Carlo, (2015)
-
The pricing kernel density : the case of the information that did not bark
Sala, Carlo, (2015)
- More ...