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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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The expansion of investment strategies and capital markets is altering the significance and empirical rationality of … diverged from their intrinsic value. This paper presents an analysis of anomaly returns in the presence of the theory of the …
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the uncertainty of subjects regarding others' rationality. We do so by comparing the price forecasts submitted by subjects … uncertainty about others' rationality plays a major role in causing substantial deviation of forecast prices from the fundamental …
Persistent link: https://www.econbiz.de/10013097788
Efficient Market Hypothesis (EMH) is founded on the theory of expected rationality but the theory of behavioural … guided way to behave rationally or guided rationality. Based on the empirical experiences and evidences of both market … systems, this paper discusses and compares the performances of the markets under the theoretical arguments of “rationality …
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We analyze repayment incentives in an infinite horizon competitive economy where agents cannot commit to financial contracts. We follow Bulow and Rogoff (1989) by assuming that a defaulting agent is excluded from borrowing forever but keeps the ability to save. Hellwig and Lorenzoni (2009)...
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