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On a Constructive Theory of Financial Markets (Prologue)

Moffitt, Steven - 2017

This article is a prologue to the article "Why Markets are Inefficient: A Gambling 'Theory' of Financial Markets for … important background for that article - why gambling is important, even necessary, for real-world traders, the reason for the … superiority of the strategic/gambling approach to the competing market ideologies of market fundamentalism and the scientific …

Persistent link: https://www.econbiz.de/10012959081

Fund flows inducing mispricing of risk in competitive financial markets

Stahmer, Axel - 2015

This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...

Persistent link: https://www.econbiz.de/10011389297

Fund Flows Inducing Mispricing of Risk in Competitive Financial Markets

Stahmer, Axel - 2015

Persistent link: https://www.econbiz.de/10013011200

Momentum and reversal in financial markets with persistent heterogeneity

Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2018

This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...

Persistent link: https://www.econbiz.de/10011790528

Selection in incomplete markets and the CAPM portfolio rule

Bottazzi, Giulio; Giachini, Daniele - 2020

This paper studies whether, and to what extent, trading in an incomplete competitive market rewards the CAPM portfolio rule over alternative rules. We find that, if a mean-variance trader faces an agent who invests in each asset proportionally to expected relative payoffs, in the long-run only...

Persistent link: https://www.econbiz.de/10012308904

Replication in Financial Economics

Harvey, Campbell R. - 2019

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

Persistent link: https://www.econbiz.de/10012867841

Betting and financial markets are cointegrated on election night

Auld, Tom - 2022

We present a model linking prices of political binary options to financial assets that applies in the very particular circumstance of the overnight session following an election. Contrary to most of the existing literature, the model is derived from economic first principles and applies in a...

Persistent link: https://www.econbiz.de/10014236256

Betting on the market : the influence of match-day odds on price reactions of European football clubs

Alterauge, Pascal; Mehlhorn, Marc - In: Journal of banking and financial economics 22 (2024) 2, pp. 1-12

This research investigates the relationship between football match outcomes, betting odds and the stock prices of publicly traded European football clubs, spanning from 11 February 2004 to 7 April 2022. Drawing data from 12 major European and publicly traded clubs, the study utilised betting...

Persistent link: https://www.econbiz.de/10015334707

Profitability of Oscillators Used in Technical Analysis for Financial Market

Naved, Mohd - 2015

This research paper aim to examine the profitability of various kinds of oscillator used in technical analysis on market index of NSE (National Stock Exchange) S&P CNX NIFTY 50 during 2004-2014. We have selected the most commonly used three oscillators i.e., Stochastic oscillator, RSI Oscillator...

Persistent link: https://www.econbiz.de/10013010826

Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities

Ledenyov, Dimitri - 2015

-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …

Persistent link: https://www.econbiz.de/10013026463