Alphanomics: The Informational Underpinnings of Market Efficiency
نویسنده
چکیده
This monograph is a compact introduction to empirical research on market efficiency, behavioral finance, and fundamental analysis. The first section reviews the evolution of academic thinking on market efficiency. Section 2 introduces the noise trader model as an alternative framework for market-related research. Section 3 surveys the growing literature on the causes and consequences of investor sentiment. Section 4 examines the role of fundamental analysis in value investing. Section 5 contains a survey of the literature on arbitrage costs and constraints, and Section 6 discusses research methodology issues associated with the need to distinguish between mispricing from risk. C. M. C. Lee and E. C. So. Alphanomics: The Informational Underpinnings of Market Efficiency. Foundations and Trends © in Accounting, vol. 9, nos. 2–3, pp. 59–258, 2014. Copyright c © 2015. DOI: 10.1561/1400000022.
منابع مشابه
Testing Informational Efficiency in the EU ETS
The paper deals with the analysis of informational efficiency of the European emissions trading scheme (EU ETS) with the goal of stating whether or not the system has been able to achieve its proclaimed cost-efficiency within the first two trading periods. The efficient market hypothesis suggests that profiting from predicting price behaviour is difficult as the market price should incorporate ...
متن کاملAdaptive Expectations , Confirmatory Bias , and Informational Efficiency
We study the informational efficiency of a market with a single traded asset. The price initially differs from the fundamental value, about which the agents have noisy private information (which is, on average, correct). A fraction of traders revise their price expectations in each period. The price at which the asset is traded is public information. The agents’ expectations have an adaptive co...
متن کاملExpectations, Liquidity, and Short-term Trading
In a market with short term agents and heterogeneous information, when liquidity trading displays persistence, prices reflect average expectations about fundamentals and liquidity trading. Informed investors exploit a private learning channel to infer the demand of liquidity traders from the order flow to anticipate the evolution of the future aggregate demand for the stock. This yields multipl...
متن کاملThe Impact of Electronic-Trading on the Relative Informational Efficiency of Index Futures Market
This study examines the impact of migration to electronic trading on the relative informational efficiency between an index futures contract and the underlying cash index. The recent move to electronic trading of the Hong Kong Hang Seng Index futures contract provides an opportunity to study how the change affects the effective bid and ask spread in the futures market and the dynamic relationsh...
متن کاملBasket Securities, Price Formation, and Informational Efficiency
This paper investigates the role of basket securities in the efficient price formation process of individual component securities. The study focuses on one type of basket security, exchange traded funds (ETFs), which includes some of the most actively traded securities in the U.S. equity market. A multi-asset variance decomposition methodology is developed to measure the information contributio...
متن کامل