We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...

This study investigates the impact of active investment management on the efficiency of public security markets. The scholarly literature indicates that active management contributes to market efficiency, thereby providing positive externalities for all investors, including investors in...

Aim/purpose - The aim of this paper is to verify whether extremely high values of market value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other. Design/methodology/approach -...

Over-the-counter (OTC) markets attract substantial trading volume despite exhibiting frictions absent in centralized limit-order markets. We compare the efficiency of OTC and limit-order markets when traders' expertise is endogenous. We show that asymmetric access to counterparties in OTC...

The current financial crisis is a crisis of theory as well. The dominant theory of financial markets, the efficient market hypothesis (EMH), states that in an efficient market the price of a financial asset reflects publicly available information about that asset. Competing theories, such as...

An efficient stock market plays an important role in stimulating economic development through providing a channel for mobilising domestic savings and facilitating the allocation of financial resources from dormant to more productive activities. This paper evaluates the Ugandan Securities...

In this study, stocks traded in the Istanbul Stock Exchange-100 (ISE- 100) Index are classified according to a risk-return criterion using hierarchical clustering algorithms. Doing this, it is intended to show that how an informed investor can make more rational investments using cluster...

Market efficiency has been analyzed through many studies using different linear methods. However, studies on financial econometrics reveal that financial time series exhibit nonlinear patterns because of various reasons. This paper examines market efficiency at Borsa Istanbul using a smooth...

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...

Using trade-level data, we study whether brokers play a role in spreading order flow information. We focus on large portfolio liquidations, which result in temporary drops in stock prices, and identify the brokers that intermediate these trades. We show that these brokers' best clients tend to...