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Short-Term Price Overreaction: Identification, Testing, Exploitation

Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an “inertia anomaly”, i.e. after an...

Persistent link: https://www.econbiz.de/10011267904

Long-Term Price Overreactions: Are Markets Inefficient?

Caporale, Guglielma Maria; Gil-Alana, Luis; Plastun, Alex - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...

Persistent link: https://www.econbiz.de/10011185761

The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?

Caporale, Guglielma Maria; Gil-Alana, Luis; Plastun, Alex - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student's t-test, dummy variables, and fractional integration) to test for...

Persistent link: https://www.econbiz.de/10011194299

The Weekend Effect: A Trading Robot and Fractional Integration Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

This paper provides some new empirical evidence on the weekend effect, one of the most recognized anomalies in financial markets. Two different methods are used: (i) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by...

Persistent link: https://www.econbiz.de/10010783994

Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called "anomalies", i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...

Persistent link: https://www.econbiz.de/10010784000

Long Memory in the Ukrainian Stock Market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

This paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that returns are characterised by a small degree of long...

Persistent link: https://www.econbiz.de/10010632796

Unobservable, but Unimportant?: The Influence of Personality Traits (and Other Usually Unobserved Variables) for the Evaluation of Labor Market Policies

Caliendo, Marco; Mahlstedt, Robert; Mitnik, Oscar A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

Many commonly used treatment effects estimators rely on the unconfoundedness assumption (“selection on observables") which is fundamentally non-testable. When evaluating the effects of labor market policies, researchers need to observe variables that affect both treatment participation and...

Persistent link: https://www.econbiz.de/10011266602

Differential Taxation and Firms' Financial Leverage: Evidence from the Introduction of a Flat Tax on Interest Income

Fossen, Frank M.; Simmler, Martin - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

-in-difference matching strategy based on firm level panel data. In addition, we implement a more structural approach with a tax rate …

Persistent link: https://www.econbiz.de/10009651334

Telling the Truth May Not Pay Off

Braun, Sebastian; Dwenger, Nadja; Kübler, Dorothea - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2007

We investigate the matching algorithm used by the German central clearinghouse for university admissions (ZVS) in … criteria applied for admission they all make use of priority matching. In priority matching schemes, it is not a dominant … applicants, we are able to detect some amount of strategic behaviour which can lead to inefficient matching. Alternative ways to …

Persistent link: https://www.econbiz.de/10004963710

Kausalanalyse durch Matchingverfahren

Gangl, Markus; DiPrete, Thomas A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2004

Having close linkages with the counterfactual concept of causality, nonparametric matching estimators have recently … causal model (RCM), the paper discusses the implementation of counterfactual analyses by propensity score matching methods … underlying matching methods relative to standard regression analysis. We then illustrate the application of matching estimators …

Persistent link: https://www.econbiz.de/10004963893