Behavioral Finance aims to explain empirical anomalies by introducing investor psychology as a determinant of asset pricing. This study provides strong evidence that anomalous stock price behavior following earnings announcements is due to a representativeness bias. It investigates current and...

We impose a structure on the short-run market inefficiencies in the asset markets and use this structure to identify a structural vector autoregressive model. This novel identification method is based on more reasonable assumptions than the standard approaches and also gives estimates for...

We examine price formation in a simple static model with asymmetric information, an infinite number of risk neutral traders and no noise traders. Here we re-examine four results associated with rational expectations models relating to the existence of fully revealing equilibrium prices, the...

Les travaux en finance comportementale tentent, depuis quelques années, d'expliquer certaines des anomalies constatées, en abandonnant l'idée de rationalité de l'investisseur, pourtant centrale à l'hypothèse d'efficience des marchés. Cette étude, menée sur les entreprises américaines...

Closed-end country funds trade in New York at their price. Their Net Asset Value (NAV) represent the value of the underlying assets, usually traded in each particular country. If the holders of the underlying assets have more information about local assets than the country fund holders, changes...

In this paper we show the degrees of persistence of the time series if eight European stock market indices are measured, after their lack of ergodicity and stationarity has been established. The proper identification of the nature of the persistence of financial time series forms a crucial step...

This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross- autocorrelations...

This paper studies the cross-autocorrelation structure in the German and Turkish stock markets by using daily portfolio returns. We find the evidence that large cap portfolios lead small cap portfolios in both subperiods of German stock market but this structure is seen only in the first...

Adding or deleting a security to or from an index can influence the share price considerably. A possible explanation that has been brought forward in the literature is the liquidity hypothesis according to which an increase in liquidity after an addition is responsible for the observed rise in...

For the first time, non-parametric statistical tests, originally developed by Sherry (1992) to test the efficiency of information processing in nervous systems, are used to ascertain if the Asian FX rates followed random walks. The stationarity and serial independence of the price changes are...