Market Efficiency For S&P 500: 1954-2004
نویسندگان
چکیده
منابع مشابه
Testing on Weak Form Market Efficiency Hypothesis: The Evidence from Dhaka Stock Market Year 2004-2012
The purpose of this study is to test The Weak Form Efficient Market Hypothesis in Dhaka’s Stock Market. The study examined the distribution of equity returns by dividing the sample period into two sub periods of daily DSE General Index (DGEN) and sub periods are sample-1(2004-2007), and sample-2 (2008-2012). Also, monthly general index starting from 1990 to 2012 are taken as sample to test the ...
متن کاملEconomic Efficiency of Smallholder in Iran: Adjusted for Market Distortion
To measure an unbiased farm-specific efficiency of individual dairy farmers, a shadow-price profit frontier adjusted for market distortion was applied to a sample of 860 Iranian small intensive dairy farms surveyed in 2005-2006. This measure was then compared with that of unadjusted measure that assumes undistorted market. A multiple general linear model (GLM) technique was applied to the data ...
متن کاملProduct Market Competition and Stock Market Efficiency
How does competition in a firm's product market affect the behavior of its stock? We examine this question in a noisy rational expectations economy in which firms operate under monopolistic competition. Production is subject to productivity shocks and requires capital, raised on a perfectly competitive equity market. Investors observe firms' past profits and collect private information about th...
متن کاملDissecting Market Efficiency ∗
In this paper we introduce a new methodology to test market efficiency and to assess the performance of the most widely accepted asset pricing models. We use this methodology to test the semi-strong form of market efficiency in the context of publicly available accounting information. Instead of testing for a single accounting-based firm characteristic that can generate abnormal excess returns ...
متن کاملStochastic Market Efficiency
In Sec. 1 we summarize a few key properties of geometric Brownian motion that were pointed out in (Peters, 2010). We indicate the main elements of the analogy that is often drawn between this and the dynamics of markets. Section 2 introduces the concept of stochastic efficiency, namely the hypothesis that the properties of price fluctuations in real markets are strongly constrained by stability...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Business & Economics Research Journal (IBER)
سال: 2011
ISSN: 2157-9393,1535-0754
DOI: 10.19030/iber.v4i7.3603