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Stock investment and excess returns : a critical review in the light of the efficient market hypothesis
Qianwei, Ying; Yousaf, Tahir; Ul Ain, Qurat; Akhtar, Yasmeen - In: Journal of risk and financial management : JRFM 12 (2019) 2/97, pp. 1-22
diverged from their intrinsic value. This paper presents an analysis of anomaly returns in the presence of the theory of the …
Persistent link: https://www.econbiz.de/10012022012
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Heterogeneous agent models in finance
Dieci, Roberto; He, Xue-zhong - 2018
Persistent link: https://www.econbiz.de/10013253829
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Efficient market hypothesis in the capital market of a small transition economy - does it hold?
Jagrič, Timotej; Strašek, Sebastjan - In: Acta oeconomica : periodical of the Hungarian Academy … 55 (2005) 4, pp. 427-452
Persistent link: https://www.econbiz.de/10003239766
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Information Mirages an experimentellen Wertpapiermärkten
Kugler, Patrick L. - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003297768
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - In: Journal of financial economics 122 (2016) 2, pp. 221-247
Persistent link: https://www.econbiz.de/10011590901
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Information Mirages an experimentellen Wertpapiermärkten
Kugler, Patrick L. (contributor) - 2006
Preisbildung an Aktienmärkten -- Ausgewählte empirische Untersuchungen zur Erklärung von Information Mirages -- Information Mirages an experimentellen Wertpapierbörsen -- Methodik zur Analyse von Information Mirages an der Computerbörse CAT -- Spezifikation der Information Mirages an der...
Persistent link: https://www.econbiz.de/10014014174
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Asset pricing bricks
Müller, Marcel - 2020
Persistent link: https://www.econbiz.de/10012263653
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Moving Averages, Effizienzmarkthypothese und Finanzmärkte : eine modelltheoretische und empirische Betrachtung
Tröndle, Markus - 2011
Persistent link: https://www.econbiz.de/10009232628
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An agent-based model of financial market efficiency dynamics
El Oubani, Ahmed; Lekhal, Mostafa - In: Borsa Istanbul Review 22 (2022) 4, pp. 699-710
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,...
Persistent link: https://www.econbiz.de/10013334820
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Regime-switching determinants of mutual fund performance in South Africa
Apau, Richard; Moores-Pitt, Peter; Muzindutsi, Paul-Francois - In: Economies : open access journal 9 (2021) 4, pp. 1-20
This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund...
Persistent link: https://www.econbiz.de/10012799837