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Efficient Capital Markets and Martingales
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About: This article is published in Journal of Economic Literature. The article was published on 01 Jan 1989. and is currently open access. The article focuses on the topics: Capital market & Financial capital.
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Citations
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Efficiency in a Thinly Traded Market: The Case of Pakistan
Fazal Husain,Kevin F. Forbes +1 more
TL;DR: In this paper, the weak form efficiency hypothesis in the Pakistani equity market using daily closing prices of 36 stocks, 8 sector indices, and the market index from January 1, 1989 to December 30, 1993 and applying serial correlation and runs analysis, the authors found that the market exhibits strong serial dependence and the factors responsible appear to be infrequent trading and stock returns volatility.
2
When Unit Roots Matter: Excess Volatility and Excess Smoothness of Long-Term Interest Rates
TL;DR: In this article, the authors re-examine volatility tests of the expectations model of the term structure of interest rates and find that the long-term interest rate overreacts to all transitory shocks, and underreact to all permanent shocks.
2
Political administration effects and day-of-the-week effects in New Zealand's foreign exchange rate
Stephen P. Keef,Melvin L. Roush +1 more
TL;DR: In this paper, the authors investigated the presence of political administration effects and day-of-the-week effects with New Zealand's trade-weighted foreign exchange index and found that changes in the index did not differ between Labour Party and National Party (Conservative) administrations.
2
Methoden in der Betriebswirtschaftslehre
Andreas Georg Scherer,Ina Maria Kaufmann,Moritz Patzer +2 more
- 01 Jan 2009
TL;DR: In this article, the Vielfalt des Betriebswirtschaftlichen Methodenarsenals (BWC) is discussed. But, e.g., the BWC muss daher ihre methoden immer wieder einer kritischen Reflexion unterziehen.
Los Modelos CAPM y APT para la valuación de empresas de Telecomunicaciones con parámetros operativos (The CAPM and APT Models for valuation of telecommunication companies with operations factors)
M. Palomo,M. Blanco +1 more
- 01 Jan 2007
TL;DR: In this article, the authors present the CAPM (Capital Asset Pricing Model) and the APT (Arbitrage Pricing Theory), both capital asset evaluation models, are presented.
2
References
•Book
Judgment Under Uncertainty: Heuristics and Biases
Amos Tversky,Daniel Kahneman +1 more
- 01 Jan 1974
TL;DR: The authors described three heuristics that are employed in making judgements under uncertainty: representativeness, availability of instances or scenarios, and adjustment from an anchor, which is usually employed in numerical prediction when a relevant value is available.
Efficient capital markets: a review of theory and empirical work*
TL;DR: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 as mentioned in this paper
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Technical change and the aggregate production function
TL;DR: In this article, the authors proposed a method to improve the performance of the system by using the information of the user's interaction with the system and the system itself, including the interaction between the two parties.
The arbitrage theory of capital asset pricing
TL;DR: Ebsco as mentioned in this paper examines the arbitrage model of capital asset pricing as an alternative to the mean variance pricing model introduced by Sharpe, Lintner and Treynor.
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