Narrow search
Showing 1 - 10 of 1,431
Cover Image
An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer; Veith, Jochen - 2006
Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using … two factors of our model are the stock price and a market polarization variable which determines the level of overreaction …. We show that option prices depend significantly on the level of overreaction, regardless of prevailing risk preferences …
Persistent link: https://www.econbiz.de/10010301798
Cover Image
Price Overreactions in the Cryptocurrency Market
Caporale, Guglielmo Maria; Plastun, Alex - 2018
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns...
Persistent link: https://www.econbiz.de/10011794200
Cover Image
Price overreactions in the cryptocurrency market
Caporale, Guglielmo Maria; Plastun, Alex - 2018
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann-Whitney U test) tests confirm the presence of price patterns after...
Persistent link: https://www.econbiz.de/10011794922
Cover Image
Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?
Schulmeister, Stephan - 2008
This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2,580 technical models has steadily declined since 1960, and has been unprofitable since the early 1990s....
Persistent link: https://www.econbiz.de/10011435253
Cover Image
Strategische Asset-Allokation aus Sicht des privaten Kapitalanlegers
Walther, Ursula - 2002
Die strategische Asset Allokation ist die für den langfristigen Anlageerfolg wichtigste Entscheidung eines Kapitalanlegers. Eine fundierte Entscheidung erfordert einen mehrstufigen, strukturierten Prozess. Der Anleger muss sich mit den realistischen Chancen des Kapitalmarktes und mit seinen...
Persistent link: https://www.econbiz.de/10010305678
Cover Image
Do investors optimize, follow heuristics, or listen to experts?
Gehrig, Thomas P.; Güth, Werner; Levínský, René; … - 2008
In the experimental scenario several agents repeatedly invest in n (n2) state-specific assets. The evolutionarily stable and equilibrium (Blume and Easley, 1992) portfolio for this situation requires to distribute funds according to the constant probabilities of the various states. The different...
Persistent link: https://www.econbiz.de/10010274010
Cover Image
Does Risk Seeking drive Asset Prices?
Post, Thierry; Levy, Haim - 2002
We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern0 of stock returns. For this purpose, we analyze the stochastic dominance efficiency classification of the value-weighted market portfolio relative to benchmark portfolios based on...
Persistent link: https://www.econbiz.de/10010324879
Cover Image
Recursive portfolio selection with decision trees
Andriyashin, Anton; Härdle, Wolfgang Karl; Timofeev, Roman - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10010274142
Cover Image
Stock Selection Strategies in Emerging Markets
van der Hart, Jaap; Slagter, Erica; van Dijk, Dick - 2001
Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in severaldirections. First, we examine a broader range of stock selection strategies, including strategiesbased on analysts'...
Persistent link: https://www.econbiz.de/10010324784
Cover Image
Short-Term Stock Price Reversals May Be Reversed
Kudryavtsev, Andrey - In: International Journal of Economic Sciences and Applied … 5 (2012) 3, pp. 129-146
In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...
Persistent link: https://www.econbiz.de/10011310234