This paper analyzes whether the market portfolio is efficiently related to benchmark portfolios formed on size, value, momentum and reversal with various utility theories by using stochastic dominance criteria. The results support the prospect theory including assumption of loss aversion at...

The paper seeks to lay out a stock-flow-based theoretical framework that provides a foundation for a general theory of pricing. Contemporary marginalist economics is usually based on the assumption that prices are set in line with the value placed on goods by consumers. It does not take into...

This paper studies the impact of market specific news on the short-time forward premia on the Scandinavian electricity market. I show that the short time premia between the day-ahead and intra-day electricity prices on the Scandinavian market can be explained by the arrival of news specific to...

Political stock markets (PSM) are sometimes seen as substitutes for opinion polls. On the bases of a behavioral model, specific preconditions were drawn out under which manipulation in PSM can weaken this argument. Evidence for manipulation is reported from the data of two separate PSM during...

This paper explores an equilibrium model for industry entry dynamics and technological change. We focus on the share valuation of firms in the transition as technology changes, and whether or not share prices are always increasing when technology improves. We find that there can be a U-shaped...

We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions ("market...

Inter-dealer trading in US Treasury Securities is almost equally divided between two similar electronic trading platforms. This provides a natural experiment within which to test the propositions of Bloomfield & O'Hara (1999 and 2000) about price discovery in fragmented markets. We examine the...

Inter-dealer trading in US Treasury Securities is almost equally divided between two similar electronic trading platforms. BrokerTec is more active in the trading of 2-, 5-, and 10-year T-notes while eSpeed has more active trading in the 30-year bond. eSpeed provides a more pre-trade transparent...

Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share Exchange over time. Our model relaxes that heroic assumption...

Seasonality is a repeatable tendency of a financial instrument to move in relation to a particular influencing factor. That factor could be the time of year, the year of a decade, changes in interest rates, inflation, energy prices, etc. We focus on stock price action and seasonal cycles derived...