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Long-term price overreactions : are markets inefficient?
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
Persistent link: https://www.econbiz.de/10010520828
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Price gaps : another market anomaly?
Caporale, Guglielmo Maria; Plastun, Alex - 2016
Persistent link: https://www.econbiz.de/10011539676
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Long-term price overreactions : are markets enefficient?
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so … data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter …
Persistent link: https://www.econbiz.de/10010467097
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Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A …
Persistent link: https://www.econbiz.de/10010431281
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Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
Persistent link: https://www.econbiz.de/10010431600
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Short-term price overreaction : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A …
Persistent link: https://www.econbiz.de/10010438074
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Long-term price overreactions : are markets inefficient?
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance 43 (2019) 4, pp. 657-680
Persistent link: https://www.econbiz.de/10012385147
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Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Computational economics 51 (2018) 4, pp. 913-940
Persistent link: https://www.econbiz.de/10011972202
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The weekend effect : an exploitable anomaly in the Ukrainian stock market?
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
Persistent link: https://www.econbiz.de/10010520749
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The weekend effect : an exploitable anomaly in the Ukrainian stock market?
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student's t-test, dummy variables, and fractional integration) to test for...
Persistent link: https://www.econbiz.de/10010488267