For every U.S.-listed security for every year between 2001-2017, I run four different event studies to calculate four separate objective measures of the efficiency of the market for that security for that year, which provide an objective characterization of the market for that security in that...

I use eight different metrics as separate objective and systematic measures of the efficiency of the market for a stock. I develop a seven-equation (six- for non-Nasdaq stocks) structural model with market efficiency as a function of exogenous factors (transaction costs & constraints, short...

I use eight objective and systematic measures of the efficiency of the market for a stock. Based on the market microstructure models of Kyle and Obizhaeva (2016) and Bhattacharya (2019), I develop a six-equation (five- for non-Nasdaq stocks) structural model with market efficiency as a function...

A number of studies on the S&P 500 index options market claim that the no arbitrage assumption cannot be rejected for this market because either the martingale restriction defined in Longstaff (1995) cannot be rejected by the data, or, even when it is rejected, a large proportion of the...

Market efficiency and the pricing kernel are closely related. A non-monotonic decreasing pricing kernel implies the existence of a trading strategy in contingent claims that stochastically dominates a direct investment in the market. Moreover, a market is assumed to be efficient only if no...

We propose an approach to the valuation of payoffs in general semimartingale models of financial markets where prices are nonnegative. Each asset price can hit 0; we only exclude that this ever happens simultaneously for all assets. We start from two simple, economically motivated axioms, namely...

Were eighteenth-century financial markets efficient? Neal (1990) shows that the London and Amsterdam markets were integrated. Yet some scholars find that the London capital market was either not integrated across various classes of securities, or was comprised of ignorant investors who were not...

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...

In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility would indicate market inefficiency. Using...