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...

This paper assesses the evolving efficiency status of Southeast Asian (SEA) 'tiger cub' stock markets. The weak-form efficient market hypothesis (EMH) is examined using daily price index data and variance ratio tests from 2000 to 2012. We also explore two diverse sub-periods of economic activity...

In present study, I analyze the actual mechanism of autocorrelations in individual stocks' opening returns. For Dow Jones Industrial Index constituents, I document that if the previous day's market and individual stock's opening returns are taken together to explain the stock's opening returns,...

The hypothesis that a stock market price index follows a random walk is tested for the regional stock market of the West African Economic and Monetary Union called the Bourse R¨¦gionale des Valeurs Mobili¨¨res (BRVM) using the Lo and MacKinlay (1988), the Chow and Denning (1993), and the...

En los últimos años, ante los hallazgos de estructuras deterministas no-lineales en series financieras, la econometría financiera aplicada ha adoptado toda una serie de sofisticadas y potentes técnicas no-lineales de predicción. En este trabajo empleamos el método de ocurrencias análogas,...

The aim of this paper is to obtain some statistical properties about runs of daily returns of ISE30, ISE50 and ISE100 indices and compare these results with the empirical stylized facts of developed stock markets. In this manner, all time historical daily closing values of these indices are...

Sub-Saharan Africa (SSA) economies have established stock markets to encourage the mobilization of domestic funds and attract foreign capital in-flows for corporate investment and growth. But domestic corporate listings on stock markets have been abysmal. This study examines the reasons behind...

We analyze if the value-weighted stock market portfolio is second-order stochastic dominance (SSD) efficient relative to benchmark portfolios formed on size, value, and momentum. In the process, we also develop several methodological improvements to the existing tests for SSD efficiency....

Historically, most convertible bond (CB) issues have been converted to equity sooner or later. The announcement of a CB issue will bring about a future dilution of the firm's capital, and is often followed by a drop in share price. However, a CB issue by itself creates future value for the...