Narrow search
Showing 1 - 10 of 108,440
Cover Image
Chilean Stock Market Efficiency: A Dynamic Approach using Volatility Tests
Acuña, Andrés; Pinto, Cristián - Volkswirtschaftliche Fakultät, … - 2007
In this paper we analyze the Chilean Stock Market's efficiency level. The efficiency concept, relates financial asset … economic decision making process. To corroborate the stock market efficiency we used a theorical model for financial asset …
Persistent link: https://www.econbiz.de/10005619423
Cover Image
The impact of heterogeneous signals on stock price predictability in a rational expectations model
Winter, Christoph - 2018
Through extending a standard Grossman and Stiglitz (1980) noisy rational expectations economy by a heterogeneous signal structure with signal-specific differences in uncertainty, we show that price momentum as well as reversal are not intrinsically at odds with rational behavior. Differences in...
Persistent link: https://www.econbiz.de/10011952636
Cover Image
Survival in speculative markets
Dindo, Pietro - 2015
In a dynamic stochastic exchange economy where, due to beliefs heterogeneity, agents engage in speculative trade, I investigate the Market Selection Hypothesis that speculation rewards the agent with the most accurate beliefs. Assuming that agents maximize Epstein-Zin preferences and that...
Persistent link: https://www.econbiz.de/10011404589
Cover Image
The effect of government decisions on the efficiency of the investment funds market in Poland
Witkowska, Dorota; Kompa, Krzysztof; Mentel, Grzegorz - In: Journal of business economics and management 20 (2019) 3, pp. 573-594
-2014. This article focuses on explaining the impact of these political decisions on efficiency of investment fund market in … Poland. Therefore, the article aims (1) to find out if changing in functioning of pension funds also affected the efficiency … investment efficiency evaluation were applied. Findings show that pension funds performed better than mutual funds which are …
Persistent link: https://www.econbiz.de/10012175765
Cover Image
Comprehensive analysis of regulatory impacts on performance of Slovak pension funds
Papík, Mário; Papíková, Lenka - In: Journal of business economics and management 22 (2021) 3, pp. 735-756
Standard pay-as-you-go pension system is facing long-term and short-term sustainability challenges in several countries. Possible replacement of standard pension system might be in a form of private pension savings. Private pension savings are meaningful only if they provide sufficiently high...
Persistent link: https://www.econbiz.de/10012506302
Cover Image
Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market
Schasfoort, Joeri; Stockermans, Christopher - 2017
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011723700
Cover Image
Survival in speculative markets
Dindo, Pietro - 2015
In a dynamic stochastic exchange economy where, due to beliefs heterogeneity, agents engage in speculative trade, I investigate the Market Selection Hypothesis that speculation rewards the agent with the most accurate beliefs. Assuming that agents maximize Epstein-Zin preferences and that...
Persistent link: https://www.econbiz.de/10011564740
Cover Image
Endogenous Leverage and Asset Pricing in Double Auctions
Breuer, Thomas; Summer, Martin; Vollbrecht, Hans-Joachim - 2013
We study the trading of real assets financed by collateralized loans in an agent based model of a continuous double auction. This approach provides a complementary perspective on recent advances in the general equilibrium theory of endogenous leverage by studying a model that simultaneously...
Persistent link: https://www.econbiz.de/10013370101
Cover Image
Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647399
Cover Image
The impact of heterogeneous signals on stock price predictability in a rational expectations model
Winter, Christoph - 2018
Through extending a standard Grossman and Stiglitz (1980) noisy rational expectations economy by a heterogeneous signal structure with signal-specific differences in uncertainty, we show that price momentum as well as reversal are not intrinsically at odds with rational behavior. Differences in...
Persistent link: https://www.econbiz.de/10012140900