New trading practices and short-run market efficiency

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Efficiency and Observability with Long-run and Short-run Players

We present a general algorithm for computing the limit, as 5 -> 1, of the set of payoffs of perfect public equilibria of repeated games with long-run and shortrun players, allowing for the possibility that the players' actions are not observable by their opponents. We illustrate the algorithm with two economic examples. In a simple partnership we show how to compute the equilibrium payoffs when...

متن کامل

Does Noise Trading Affect Securities Market Efficiency?

I investigate the impact of noise trading on securities market efficiency using data from short-horizon Arrow-Debreu securities traded on an online exchange. Using liquidity as a proxy for the amount of noise trading, I show that securities markets with persistently high noise trade exhibit significant pricing anomalies, such as overpricing low probability events and underpricing high probabili...

متن کامل

Sophisticated Trading and Market Efficiency: Evidence from Macroeconomic News Announcements

This paper studies how the views of sophisticated traders are impounded into stocks and bonds around macroeconomic news announcements. I find evidence that sophisticated traders trade on predictions of macroeconomic news reports before announcements and obtain their informational advantage using public information. Specifically, consensus forecasts of upcoming data releases suffer from anchorin...

متن کامل

Market efficiency and the returns to simple technical trading rules: new evidence from U.S. equity market and Chinese equity markets

Numerous studies in the finance literature have investigated technical analysis to determine its validity as an investment tool. This study is an attempt to explore whether some forms of technical analysis can predict stock price movement and make excess profits based on certain trading rules in markets with different efficiency level. To avoid using arbitrarily selected 26 trading rules as did...

متن کامل

Trading Volatility Spreads: A Test of Index Option Market Efficiency

If returns on two assets share common volatility components, the prices of options on the assets should be interdependent and the implied volatility spread should mean revert. We first demonstrate, using the canonical correlation method, that there is a common component among the volatilities of the returns on S&P 100 and S&P 500 indexes. We then exploit this commonality by trading on the volat...

متن کامل

ذخیره 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: Journal of Futures Markets

سال: 1995

ISSN: 0270-7314,1096-9934

DOI: 10.1002/fut.3990150702