We propose a practical framework to detect mispricing, test informational efficiency and evaluate the behavioural biases within high-frequency prediction markets, especially in how prices react to news. We show this using betting exchange data for association football, exploiting the moment when...

We build a parsimonious agent-based model under the adaptive market hypothesis (AMH), which can explain the formation of equilibrium prices and market efficiency dynamics. Our model combines heterogeneous interacting agents, switching behavior, and investor feedback on past realized returns,...

Information is incorporated into stock prices when investors trade; consequently, prices respond only to the information investors pay attention to. Because market efficiency requires rapid information dissemination and fully informative prices, attention necessarily affects the level of market...

This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Bangladesh and whether the time varying nature of the anomalies is in line with Adaptive Market Hypothesis (AMH). With this aim the research investigated whether the changes in market conditions, for example:...

There has been substantial growth in the incorporation of environmental, social and governance (ESG) issues into investment decisions, and this trend has been motivated by the societal benefits that are achieved when socially responsible firms have access to cheaper capital. While the benefits...

This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Bangladesh and whether the time varying nature of the anomalies is in line with Adaptive Market Hypothesis (AMH). With this aim the research investigated whether the changes in market conditions, for example:...

Meme stocks have received a lot of attention in the media from both investors and regulators in recent months. The power of the crowd, coupled with the unprecedented coordination of social media investors, raises questions about their impact on information efficiency. We construct two meme stock...

Stock market movements are the results of changes in investor sentiment (INSEN) which can even be induced by non-economic events. We consider international cricket events to empirically investigate the notions. Implementing portfolio approach, we conduct the event study along with OLS regression...

Disequilibrating macro shocks affect different firms' prospects differently, increasing idiosyncratic variation in forward-looking stock returns before affecting economic growth. Consistent with most such shocks from 1947 to 2020 enhancing productivity, increased idiosyncratic stock return...

Bookmakers sell claims to bettors that depend on the outcomes of professional sports events. Like other financial assets, the wisdom of crowds could help sellers to price these claims more efficiently. We use the Wikipedia profile page views of professional tennis players involved in over ten...