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Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439

Information shocks and the cross section of expected returns

Savaser, Tanseli; Tiniç, Murat - In: Borsa Istanbul Review 23 (2023) 2, pp. 378-401

This paper examines the risk premium associated with information shocks in equity markets. For all stocks traded on Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as unanticipated information asymmetry by focusing on changes in the proportion of the...

Persistent link: https://www.econbiz.de/10014307769

Testing mispricing-augmented factor models in an emerging market : a quest for parsimony

Ali, Fahad - In: Borsa Istanbul Review 22 (2022) 2, pp. 272-284

This study is the first to test a financing-based misvaluation factor (UMO, undervalued-minus-overvalued), first proposed by Hirshleifer and Jiang (2010), for the Pakistani stock market. I find that the UMO factor, long underpriced (repurchase) stocks and short overpriced (new issue) stocks,...

Persistent link: https://www.econbiz.de/10013184079

A Bayesian zero-one inflated beta modeling of dairy farmers’ decision to sell nothing or some output through contract farming

Ng'ombe, John N.; Kabwela, Benny; Kiwanuka-Lubinda, … - In: Q open : a journal of agricultural, climate, … 2 (2022) 1, pp. 1-23

Smallholder farmers’ preferences for participation in contract farming may take the form of proportional data-whereby farmers only sell some proportions or fractions of their output to contractors. We analyze determinants for preferences for zero (potential corner solution) and proportional...

Persistent link: https://www.econbiz.de/10013328283

An evaluation of simulated network in the hierarchical spatial autoregressive model : homophily based interactions matter for the consumption behaviours

Łashkiewicz, Edyta - In: Economic and environmental studies : a journal for … 15 (2015) 2, pp. 231-247

The aim of the paper is an examination wheatear the social spillover of consumption behaviours differs for the homophily and heterophily based structure of interactions. As an approximation of agents' behaviours households' expenditures with the reference person attributes were used. The...

Persistent link: https://www.econbiz.de/10011419328

On determinants of the economic growth of European countries during 2005-2015

Mazurek, Jiří - In: Comparative economic research : Central and Eastern Europe 20 (2017) 2, pp. 21-33

The aim of the paper is to examine the economic growth of 32 European countries from 2005 to 2015. This period was characterized by a strong growth prior to 2009, when the Great Recession started, and lasted until 2012-2013 in the majority of examined countries. The growth between 2005 and 2015...

Persistent link: https://www.econbiz.de/10011869942

Estimation of the Russian informal economy size on the household budget survey data

Murashov, Yaroslav; Ratnikova, Tatiana - In: Cogent economics & finance 5 (2017) 1, pp. 1-13

estimation on different subsamples of households with various socioeconomic characteristics. The comparison of the system of …

Persistent link: https://www.econbiz.de/10011877670

Testing in a random effects panel data model with spatially correlated error components and spatially lagged dependent variables

He, Ming; Lin, Kuan-pin - In: Econometrics : open access journal 3 (2015) 4, pp. 761-796

We propose a random effects panel data model with both spatially correlated error components and spatially lagged dependent variables. We focus on diagnostic testing procedures and derive Lagrange multiplier (LM) test statistics for a variety of hypotheses within this model. We first construct...

Persistent link: https://www.econbiz.de/10011411712

A spatial-filtering zero-inflated approach to the estimation of the gravity model of trade

Metulini, Rodolfo; Patuelli, Roberto; Griffith, Daniel A. - In: Econometrics : open access journal 6 (2018) 1, pp. 1-15

Nonlinear estimation of the gravity model with Poisson-type regression methods has become popular for modelling … estimation strategy to a cross-section of bilateral trade flows between a set of 64 countries for the year 2000, we find that our …

Persistent link: https://www.econbiz.de/10011823271

Tracing the spatial patterns of innovation determinants in regional economic performance

Olejnik, Alicja; Żółtaszek, Agata - In: Comparative economic research : Central and Eastern Europe 23 (2020) 4, pp. 87-108

In this paper, we investigate innovation factors and their role in regional economic performance for a sample of 261 EU NUTS 2 regions over the period 2009-2012. In our study, we identify regions with spillover as well as drain effects of innovation factors on economic performance. The spatial...

Persistent link: https://www.econbiz.de/10012419344