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Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical … foundation of the EMH, and show that market efficiency could co-exit with heterogeneous beliefs and individual irrationality so … and the collective outcome could display significant departures from market efficiency. Market efficiency could be the …

Persistent link: https://www.econbiz.de/10003985756

Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market

Dickinson, David L.; Chaudhuri, Ananish; … - 2017

Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...

Persistent link: https://www.econbiz.de/10011731909

Mind, body, bubble! : psychological and biophysical dimensions of behavior in experimental asset markets

Butler, David J.; Cheung, Stephen L. - 2018

efficiency, while incidental emotions can impair it. Signals in specific brain areas can be a trigger precipitating a bubble …

Persistent link: https://www.econbiz.de/10011870688

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …

Persistent link: https://www.econbiz.de/10009535779

Risk sharing within and outside the firm: the disparate effects of wrongful discharge laws on expected stock returns

Mahlstedt, Robert; Weber, Rüdiger - 2020

We study the effect of wrongful-discharge laws (WDL) on firm-level stock returns. We find disparate effects depending on the exact design of the law. Consistent with rational, risk-based pricing, the effect on returns seems to be linked to how firms share systematic risk with their employees...

Persistent link: https://www.econbiz.de/10012373128

Stock market returns and consumption

Di Maggio, Marco; Kermani, Amir; Majlesi, Kaveh - 2018

This paper employs Swedish data on households' stock holdings to investigate how consumption responds to changes in stock market returns. We instrument the actual capital gains and dividend payments with past portfolio weights. Unrealized capital gains lead to a marginal propensity to consume...

Persistent link: https://www.econbiz.de/10011803183

League-table incentives and price bubbles in experimental asset markets

Cheung, Stephen L.; Coleman, Andrew - 2011

We study experimental markets in which participants face incentives modeled upon those prevailing in markets for managed funds. Each participant's portfolio is periodically evaluated at market value and ranked in a league table according to short-term paper returns. Those who rank highly attract...

Persistent link: https://www.econbiz.de/10009306962

Give me your wired and your highly skilled : measuring the impact of immigration policy on employers and shareholders

Lin, Carl - 2011

The paper links finance theory to labor economics and political economy in the context of migration and immigration policy. Most research treating the impact of immigration has focused on the consequences for employees as measured by wages, earnings, and employment. Less is known about the...

Persistent link: https://www.econbiz.de/10009308050

How does the economic uncertainty affect asset prices under normal and financial distress times?

Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2022

By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....

Persistent link: https://www.econbiz.de/10013198932

To see is to believe : common expectations in experimental asset markets

Cheung, Stephen L.; Hedegaard, Morten; Palan, Stefan - 2012

We challenge the recent claim that mispricing in the experimental asset markets introduced by Smith, Suchanek, and Williams (1988) is merely an artefact of confusion over declining fundamental value, and can be eliminated through appropriate training. We instead propose that when training is...

Persistent link: https://www.econbiz.de/10009631461

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