The Efficient Market Hypothesis
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The Efficient Market Theory And Evidence
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Author : Andrew Ang
language : en
Publisher: Now Publishers Inc
Release Date : 2011
The Efficient Market Theory And Evidence written by Andrew Ang and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
The World Of Economics
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Author : John Eatwell
language : en
Publisher: Springer
Release Date : 1991-05-13
The World Of Economics written by John Eatwell and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-05-13 with Business & Economics categories.
What are the central questions of economics and how do economists tackle them? This book aims to answer these questions in 100 essays, written by economists and selected from "The New Palgrave: A Dictionary of Economics". It shows how economists deal with issues ranging from trade to taxation.
The Efficient Market Hypothesists
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Author : Colin Read
language : en
Publisher: Springer
Release Date : 2015-12-26
The Efficient Market Hypothesists written by Colin Read and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-26 with Business & Economics categories.
Describes the lives, theories, and legacies of six great minds in finance who changed the way we look at financial markets and equilibrium. Bachelier, Samuelson, Fama, Ross, Tobin, and Shiller; proponents and critics of the market efficiency theories who redefined modern finance, creating the foundation on which all financial analysis rests.
Efficient Market Hypothesis
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Author : Mario Chinas
language : en
Publisher:
Release Date : 2018-12-12
Efficient Market Hypothesis written by Mario Chinas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-12 with categories.
This is the Full Colour version of the book including all the research data and analysis tables in the appendices. There is also a Black & White version, available at a discount, that does not include the research data and analysis tables.What is a Stock Market? How do stock markets operate? Who invests in a stock market and when is it an appropriate tool for investment? Why do we care if a stock market is efficient or not? Where can we find evidence of market efficiency? With what tools can we test market efficiency?These are some of the questions that this book approaches. The Efficient Market Hypothesis (EMH) is a theory in financial economics, developed by Eugene Fama, which states that asset prices fully reflect all available information. Thus, it is implied that stocks always trade at their fair value, making it impossible for investors to "beat the market" via technical or fundamental analysis, since market prices should only react to new information.There are three variants of the EMH: "weak," "semi-strong," and "strong" form. The weak form of the EMH claims that prices already reflect all past publicly available market information. The semi-strong form claims that prices reflect all publicly available information, thus price changes occur to reflect new publicly available information. The strong form adds to this that prices instantly reflect even hidden private "insider" information.Testing the EMH is no easy task: Quantifying the availability of information and its effect on prices and market efficiency is challenging, making research on the subject difficult, time consuming and open to criticism. However, anecdotal evidence suggests that markets at best reach semi-strong form efficiency, with weak form efficiency being the norm. However, even this is challenged by the critics of EMH, via concepts such as Behavioural Finance.This book aims to familiarise the reader with the concept of EMH, covering the fundamentals and relevant literature. We then discuss market efficiency tests for Weak Form Market Efficiency, examining in more detail the day-of-the-week effect and its significance on stock market efficiency. The day-of-the-week effect is defined as a pattern where a certain day of the week has abnormal returns continuously. It is an anomaly that violates the random walk hypothesis, and thus implies that a market is not Weak Form efficient.We put theory into practice through the Empirical Research section which is divided into two parts, looking at two different approaches to researching the day-of-the-week effect, via the examination of actual research examples on a small European stock exchange. Both of these Thesis tested the hypothesis of random walk to determine the authenticity of weak form market efficiency for a small emerging stock market within the EU (the Cyprus Stock Exchange).
An Introduction To Algorithmic Trading
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Author : Edward Leshik
language : en
Publisher: John Wiley & Sons
Release Date : 2011-04-04
An Introduction To Algorithmic Trading written by Edward Leshik and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-04 with Business & Economics categories.
Interest in algorithmic trading is growing massively – it’s cheaper, faster and better to control than standard trading, it enables you to ‘pre-think’ the market, executing complex math in real time and take the required decisions based on the strategy defined. We are no longer limited by human ‘bandwidth’. The cost alone (estimated at 6 cents per share manual, 1 cent per share algorithmic) is a sufficient driver to power the growth of the industry. According to consultant firm, Aite Group LLC, high frequency trading firms alone account for 73% of all US equity trading volume, despite only representing approximately 2% of the total firms operating in the US markets. Algorithmic trading is becoming the industry lifeblood. But it is a secretive industry with few willing to share the secrets of their success. The book begins with a step-by-step guide to algorithmic trading, demystifying this complex subject and providing readers with a specific and usable algorithmic trading knowledge. It provides background information leading to more advanced work by outlining the current trading algorithms, the basics of their design, what they are, how they work, how they are used, their strengths, their weaknesses, where we are now and where we are going. The book then goes on to demonstrate a selection of detailed algorithms including their implementation in the markets. Using actual algorithms that have been used in live trading readers have access to real time trading functionality and can use the never before seen algorithms to trade their own accounts. The markets are complex adaptive systems exhibiting unpredictable behaviour. As the markets evolve algorithmic designers need to be constantly aware of any changes that may impact their work, so for the more adventurous reader there is also a section on how to design trading algorithms. All examples and algorithms are demonstrated in Excel on the accompanying CD ROM, including actual algorithmic examples which have been used in live trading.
The Efficient Market Hypothesis And Its Application To Stock Markets
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Author : Sebastian Harder
language : en
Publisher: GRIN Verlag
Release Date : 2010-11
The Efficient Market Hypothesis And Its Application To Stock Markets written by Sebastian Harder and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11 with Business & Economics categories.
Research Paper (undergraduate) from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.7, The FOM University of Applied Sciences, Hamburg, language: English, abstract: Especially after the 90ies, where the stock markets raised enormously, many private investors joined the stock market and were blended by abnormal profits and neglected possible losses. The same behavior could be observed before the Financial Crisis became reality. But each endless raising stock market would finally collapse, because stock prices are randomly and only driven by relevant news. The adjustment to the news is quickly. This is the theoretical argumentation of the Efficient Market Hypothesis (EMH), which will be evaluated in this paper. The author gives an overview about the EMH by explaining the basic principles and its mathematical formulation. The practical part evaluated the EMH on selected examples, where the theory could only be partly approved.
Inefficient Markets
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Author : Andrei Shleifer
language : en
Publisher: OUP Oxford
Release Date : 2000-03-09
Inefficient Markets written by Andrei Shleifer and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-03-09 with Business & Economics categories.
The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
Corporate Management In A Knowledge Based Economy
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Author : G. Zanda
language : en
Publisher: Springer
Release Date : 2011-10-26
Corporate Management In A Knowledge Based Economy written by G. Zanda and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-26 with Business & Economics categories.
Corporate Management in a Knowledge-Based Economy traces the evolution of corporate governance over time, with a particular focus on the changing nature of power. The control of scarce resources used in production materials, labour and capital has evolved considerably over the past centuries, with government, landowners, non-owner managers, and institutional investors acting as controlling powers at different points in time. In order to appropriately protect the various, and changing, stakeholders, the system of corporate governance has also developed over the years a process that continues to the present. In today's knowledge-based economy, with the rising importance of intangible assets, a new corporate management paradigm is needed. This book incorporates theoretical work as well as practical applications to analyse these developments and explore emerging trends of the 21st century. It examines how the pursuit of profit maximization has resulted in governance failures and it focuses on the prospective role of business ethics (once again in the spotlight following the credit crisis) in helping reform flawed governance structures. It argues that, in the long term, a system based on ethics can maximize social responsibility, customer satisfaction, human capital development and economic targets.
The Ascent Of Market Efficiency
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Author : Simone Polillo
language : en
Publisher: Cornell University Press
Release Date : 2020-08-15
The Ascent Of Market Efficiency written by Simone Polillo and has been published by Cornell University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-08-15 with Business & Economics categories.
The Ascent of Market Efficiency weaves together historical narrative and quantitative bibliometric data to detail the path financial economists took in order to form one of the central theories of financial economics—the influential efficient-market hypothesis—which states that the behavior of financial markets is unpredictable. As the notorious quip goes, a blindfolded monkey would do better than a group of experts in selecting a portfolio of securities, simply by throwing darts at the financial pages of a newspaper. How did such a hypothesis come to be so influential in the field of financial economics? How did financial economists turn a lack of evidence about systematic patterns in the behavior of financial markets into a foundational approach to the study of finance? Each chapter in Simone Polillo's fascinating meld of economics, science, and sociology focuses on these questions, as well as on collaborative academic networks, and on the values and affects that kept the networks together as they struggled to define what the new field of financial economics should be about. In doing so, he introduces a new dimension—data analysis—to our understanding of the ways knowledge advances. There are patterns in the ways knowledge is produced, and The Ascent of Market Efficiency helps us make sense of these patterns by providing a general framework that can be applied equally to other social and human sciences.
An Engine Not A Camera
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Author : Donald MacKenzie
language : en
Publisher: MIT Press
Release Date : 2008-08-29
An Engine Not A Camera written by Donald MacKenzie and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-08-29 with Technology & Engineering categories.
In An Engine, Not a Camera, Donald MacKenzie argues that the emergence of modern economic theories of finance affected financial markets in fundamental ways. These new, Nobel Prize-winning theories, based on elegant mathematical models of markets, were not simply external analyses but intrinsic parts of economic processes. Paraphrasing Milton Friedman, MacKenzie says that economic models are an engine of inquiry rather than a camera to reproduce empirical facts. More than that, the emergence of an authoritative theory of financial markets altered those markets fundamentally. For example, in 1970, there was almost no trading in financial derivatives such as "futures." By June of 2004, derivatives contracts totaling $273 trillion were outstanding worldwide. MacKenzie suggests that this growth could never have happened without the development of theories that gave derivatives legitimacy and explained their complexities. MacKenzie examines the role played by finance theory in the two most serious crises to hit the world's financial markets in recent years: the stock market crash of 1987 and the market turmoil that engulfed the hedge fund Long-Term Capital Management in 1998. He also looks at finance theory that is somewhat beyond the mainstream—chaos theorist Benoit Mandelbrot's model of "wild" randomness. MacKenzie's pioneering work in the social studies of finance will interest anyone who wants to understand how America's financial markets have grown into their current form.