Financial Economics, Return Predictability and Market Efficiency
نویسندگان
چکیده
منابع مشابه
Investigation the impact of US Unilateral Withdraw from JCPOA on the Market Return of Export-Oriented Companies listed on Tehran Stock Exchange by Emphasis on herding Behavior (semi-parametric approach)
Today, export-oriented companies are very important. These companies need a lot of investment to expand their activities, which is one of the best ways to finance the stock market and since market return is one of the factors influencing people's decisions to direct their capital to this market return. Therefore, the analysis of factors affecting this market return is importants and hence the m...
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Return predictability may be hidden from view if the same information has different meanings at different times, especially if information is good news in one state but bad news in another. We illustrate, using price changes in industrial metals, how conclusions on stock market return predictability vary with the number of expansions and contractions in our sample. We also show how state-switch...
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The interest in predicting stock prices or returns is probably as old as the markets themselves, and the literature on the subject is enormous. Fama (1970) reviews early work and provides some organizing principles. This chapter concentrates selectively on developments following Fama's review. In that review, Fama describes increasingly fine information sets in a way that is useful in organizin...
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One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, por...
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Due to the strong complexity of financial markets, economics does not have a unified theory of price formation in financial markets. The most common assumption is the Efficient-Market Hypothesis, which has been attacked by a number of researchers, using different tools. There were varying degrees to which these tools complied with the formal definitions of efficiency and predictability. In our ...
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