This paper presents a case study of a well-informed investor in the South Sea bubble. We argue that Hoare's Bank, a fledgling West End London banker, knew that a bubble was in progress and that it invested knowingly in the bubble; it was profitable to "ride the bubble." Using a unique dataset on...

In this paper we examine the predictability of asset returns by developing an approach that combines quantitative methods of forecasting, based on technical analysis. As an innovation we introduce a multiple criteria decision system making simultaneous use of trend indicators and other...

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced—or has failed to influence—federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH has...

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes and effects. This review and essay evaluates some of...

In the last decade, the efficient market hypothesis and its validity for emerging markets grew as a fertile topic of debate in Finance. However, the dilemma of market efficiency still remains intractable. It is more likely that any literature review in respect of market efficiency would produce...

The present study investigates the information dissemination efficiency of the Indian equity futures market. Daily log returns of all indices as well as individual stock futures contracts understudy have been found to be non-normal and responding asymmetrically to the information shocks....

Over last four decades, evidence of market inefficiencies has been widely documented by several scholars for all major stock markets in the globe. Chinese and Indian markets are not exempt. Inefficiencies in these markets are described by many authors as roots of all mispricing. Mispricing might...

A rational investor will believe that an efficient market today will remain efficient tomorrow. However, when emotions take over, markets are no longer efficient. Further, they may remain so for longer anyone can forecast. Evidence of such inefficiencies is prominent in large emerging markets in...

Can investors with irrational beliefs be neglected as long as they are rational on average ? Does unbiased disagreement lead to trades that cancel out with no consequences on prices, as implicitly assumed by the traditional models ? We show in this paper that there is an important impact of...