Similar Search Results - EconBiz

Private information, excessive volability and intraday empirical regularities in the spot foreign exchange marktet

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - 2005

Persistent link: https://www.econbiz.de/10003402636

Calendar effects, market conditions and the Adaptive Market Hypothesis : evidence from long-run US data

Urquhart, Andrew; McGroarty, Frank - In: International review of financial analysis 35 (2014), pp. 154-166

Persistent link: https://www.econbiz.de/10010529613

The Adaptive Market Hypothesis and Stock Return Predictability : Evidence from Major Stock Indices

Urquhart, Andrew - 2015

This study examines the adaptive market hypothesis of the S&P500, FTSE100, NIKKEI225 and EURO STOXX 50 by testing for stock return predictability using daily data from January 1990 to May 2014. We apply three bootstrapped versions of the variance ratio test to the raw stock returns and also...

Persistent link: https://www.econbiz.de/10013018018

Are stock markets really efficient? : evidence of the adaptive market hypothesis

Urquhart, Andrew; McGroarty, Frank - In: International review of financial analysis 47 (2016), pp. 39-49

Persistent link: https://www.econbiz.de/10011624040

Ultra-high-frequency lead-lag relationship and information arrival

Thong Minh Dao; McGroarty, Frank; Urquhart, Andrew - In: Quantitative finance 18 (2018) 5, pp. 725-735

Persistent link: https://www.econbiz.de/10011906948

The risk premium that never was : a fair value explanation of the volatility spread

McGee, Richard J.; McGroarty, Frank - In: European journal of operational research : EJOR 262 (2017) 1, pp. 370-380

Persistent link: https://www.econbiz.de/10011785787

Non-parametric estimates of the foreign exchange and equity risk premia and tests of market efficiency

Wickens, Michael R.; Thomas, Stephen - 1989

Persistent link: https://www.econbiz.de/10000779308

When growth beats value : removing tail risk from global equity momentum strategies

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2014

Persistent link: https://www.econbiz.de/10010376537

Local versus foreign currency ratings : what determines sovereign transfer risk?

Treviño, Lourdes; Thomas, Stephen - In: The journal of fixed income 11 (2001) 1, pp. 65-76

Persistent link: https://www.econbiz.de/10001595329

UK stock returns and robust tests of mean variance efficiency

Clare, Andrew D. - In: Journal of banking & finance 21 (1997) 5, pp. 641-660

Persistent link: https://www.econbiz.de/10001222187

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