This paper investigates the efficiency of the two major stock indexes of the Iberian Peninsula, the Portuguese Stock Index (PSI-20) and the Spanish Stock Index (IBEX-35). We used daily data from January 1993 to September 2001 for the Portuguese stock index and daily data from October 1990 to...

The U.S. agency mortgage backed securities (MBS) market is deep and highly liquid, yet modeling MBS is extremely challenging. This paper applies market participants' desired requirements for a good pricing model to MBS pricing models provided by six of the top MBS dealers. We find that five out...

La presente investigación intenta replicar el trabajo de Fama y French (1992) para el mercado chileno, dentro de cierto marco de limitaciones generales. Específicamente, el objetivo de la investigación es evaluar el rol conjunto del beta de mercado, el tamaño, la razón utilidad a precio, el...

This paper presents an analysis of two forms of overreaction (generalized overreaction and overreaction to prior earnings changes) in analysts’ earnings forecasts for the UK stock market, using a sample of individual forecasts of earning per share from a British investment bank over the period...

Al estudiar el mercado de renta fija en Chile a septiembre de 2002, se puede realizar dos conclusiones básicas. Primero, uno de los problemas iniciales a los que se enfrenta el gestor es que, en el universo considerado, muy pocos instrumentos entregan los vencimientos necesarios para cumplir...

A widely held belief in financial economics suggests that stock prices always adequately reflect all available information. Price movements away from fundamentals are assumed to occur only infrequently, if at all. „False“ prices are supposed to be corrected by the counter-actions of...

El presente trabajo pretende determinar si es posible desarrollar una estrategia de inversión exitosa en el mercado bursátil usando factores de riesgo no sistemático, tales como aquellos postulados por el análisis fundamental y el técnico. El trabajo se circunscribe así en el área de...

The aim of this paper is to determine the potential profitability of technical analysis applied on the foreign exchange market. Eight simple rules of trading are tested in five markets. Only long positions are tracked and reported. When neither commissions nor indexation are included in the...

Several trading rules are analyzed using all daily returns on every Ibex future contracts, since market data from MEFF was available on April 20th, 1992 till March 31st, 2000. The analyses are: calendar anomalies and technical indicators based on moving averages. In an informal test, results are...