Similar Search Results

Can exchange rate volatility explain persistence in the forward premium?

Kellard, Neil; Sarantis, Nicholas - In: Journal of empirical finance 15 (2008) 4, pp. 714-728

Persistent link: https://www.econbiz.de/10003759755

On the dynamics of international stock market efficiency

Khaled, Mohammed S.; Keef, Stephen P. - In: Cogent economics & finance 2 (2014) 1, pp. 1-11

The Granger causality procedure is used to assess the dynamics of market efficiency of 17 international stock indices. These indices are based on relatively smaller firms. The reference of market efficiency is a stock index, from the same economy, which is based on relatively larger firms. There...

Persistent link: https://www.econbiz.de/10010470565

The forward discount anomaly and the risk premium : a survey of recent evidence

Engel, Charles - In: Journal of empirical finance 3 (1996) 2, pp. 123-192

Persistent link: https://www.econbiz.de/10001208676

Empirical Studies of Exchange Rates : Price Behavior, Rate Determinationand Market Efficiency

Levich, Richard M. - 1983

Theoretical and empirical research completed over the last decade has dramatically increased our understanding of exchange rate behavior. The major insight to come from this decade of research is that foreign exchange is a financial asset. In an asset pricing framework, current exchange rates...

Persistent link: https://www.econbiz.de/10012477990

Efficiency and the Bear : Short Sales and Markets around the World

Goetzmann, William N. - 2003

We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider whether short-sales restrictions affect the efficiency of the market, and the distributional characteristics of returns to individual stocks and market indices. Using the approach...

Persistent link: https://www.econbiz.de/10012469237

Overreaction and the cross-section of returns : international evidence

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of empirical finance 42 (2017), pp. 1-14

Persistent link: https://www.econbiz.de/10011808471

Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market

Elliott, Graham - 1995

This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey...

Persistent link: https://www.econbiz.de/10012473491

Do Foreign Investors Improve Market Efficiency?

Kacperczyk, Marcin - 2018

We study the impact of foreign institutional investors on global capital allocation and welfare using novel firm-level international data. Using MSCI index inclusion as an exogenous shock to foreign ownership, we show that greater foreign ownership leads to more informative stock prices and this...

Persistent link: https://www.econbiz.de/10012452956

The Granular Nature of Large Institutional Investors

Ben-David, Itzhak - 2016

Large institutional investors own an increasing share of equity markets. We conjecture that a financial market in which large institutions dominate operates differently than a market populated by smaller independent investors. To support this view, we show that funds within the same family...

Persistent link: https://www.econbiz.de/10012456429

Revenge of the Experts : Will Covid-19 Renew or Diminish Public Trust in Science?

ⓡ, Barry Eichengreen - 2020

scientific research and expertise. We test this hypothesis by examining how exposure to previous epidemics affected trust in … course. Combining data from a 2018 Wellcome Trust survey of more than 75,000 individuals in 138 countries with data on global … reduces trust in scientists and in the benefits of their work. We also illustrate that the decline in trust is driven by the …

Persistent link: https://www.econbiz.de/10012482331