Download or read book Measuring Excess Predictability of Asset Returns and Market Efficiency Over Time written by Richard M. Levich and published by . This book was released on 2019 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: We build on the predictability bounds of Huang et al. (2017) and Potì (2018) to develop an index of informational market inefficiency. This index takes values given by the levels of relative risk aversion (RRA) of the marginal investor such that, net of sampling error at a given confidence level, the observed predictability does not exceed the predictability bound. We demonstrate the usefulness of our index in a study of the predictability of forward exchange rates of currencies of emerging and developed economies from 1994 to 2016, to shed light on how the efficiency of currency markets has evolved over this time. We find widespread evidence of excess-predictability, hence currency market inefficiency, in the early part of the sample period and then at specific times, such as the recent global financial crisis. In the more recent part of the sample period, the evidence of excess-predictability is largely limited to emerging market currencies.
Download or read book Finance 2 Asset Allocation and Market Efficiency written by Michael Frömmel and published by BoD – Books on Demand. This book was released on 2023-03-22 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: This books builds on 'Finance 1: Portfolio Theory and Management'. Both volumes are linked through the asset allocation process. While Finance 1 focuses on portfolio theory and strategic asset allocation, Finance 2 deals with tactical asset allocation and market efficiency. We start by reviewing the asset allocation process, market timing and the approach by Black and Litterman. Section 2 deals with the predictability of prices, including technical analysis and momentum. Turning to factors that may cause the predictability - if there is any - we discuss models from behavioural finance. The subsequent section deals with bubbles and herd behaviour, before we cover market microstructure and its implications. The book's last section deals with price manipulation as a cause for inefficiencies.
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Download or read book Asset Pricing and Intrinsic Values written by Bruce N. Lehmann and published by . This book was released on 2010 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has dominated modern research on asset prices. Asset prices and their intrinsic values differ in inefficient financial markets but difficulties in the measurement of intrinsic value greatly complicate market efficiency tests. Reflections on the measurement of intrinsic value provide insight into the interpretation of existing evidence and suggestions for generating new evidence on market efficiency. This review essay on the state of knowledge about market efficiency focuses on quot;A Reappraisal of the Efficiency of Financial Marketsquot;, analyzing the research areas from this perspective: (1) short-run stock return predictability; (2) asset pricing anomalies; and (3) excess volatility and present value relations.
Download or read book Predictability of Asset Returns and the Efficient Market Hypothesis written by M. Hashem Pesaran and published by . This book was released on 2010 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Download or read book Essays on Stock Return Predictability and Market Efficiency written by Lei Jiang and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Download or read book The Cross section of Stock Returns written by Stijn Claessens and published by World Bank Publications. This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimation Risk Market Efficiency and the Predictability of Returns written by Jonathan Lewellen and published by . This book was released on 2010 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: In asset pricing, estimation risk refers to investor uncertainty about the parameters of the return or cashflow process. We show that with estimation risk the observable properties of prices and returns can differ significantly from the properties perceived by rational investors. In particular, parameter uncertainty will tend to induce return predictability in ways that resemble irrational mispricing, and prices can violate familiar volatility bounds when investors are rational. Cross-sectionally, expected returns deviate from the CAPM even if investors attempt to hold mean-variance efficient portfolios, and these deviations can be predictable based on past dividends and prices. In short, estimation risk can be important for characterizing and testing market efficiency.
Download or read book Estimation Risk Market Efficiency and the Predictability of Returns written by Jonathan Lewellen and published by . This book was released on 2000 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Guide to risks and yield on stock market investment.
Download or read book Understanding Machine Learning written by Shai Shalev-Shwartz and published by Cambridge University Press. This book was released on 2014-05-19 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduces machine learning and its algorithmic paradigms, explaining the principles behind automated learning approaches and the considerations underlying their usage.
Download or read book Predictability of Asset Returns and the Efficient Market Hypothesis written by Hashem Pesaran and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimating Risk Market Efficiency and the Predictability of Returns written by Jonathan Lewellen and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Non Random Walk Down Wall Street written by Andrew W. Lo and published by Princeton University Press. This book was released on 2002-01-15 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: For 50 years, financial experts have regarded the movements of markets as a random walk, and this hypothesis has become a cornerstone of modern financial economics. Lo and MacKinlay put the random walk hypothesis to the test in this volume, which elegantly integrates their most important articles.
Download or read book On Measuring the Economic Significance of Asset Return Predictability written by Murray Carlson and published by . This book was released on 2001 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of recent studies have measured the quantitative effect of excess return predictability on the optimal consumption and portfolio choices of a rational investor, and they have used the utility costs of ignoring predictability as a natural measure of economic significance. We use a general equilibrium model as a laboratory for generating predictable excess returns and for assessing the properties of the estimated consumption/portfolio rules, under both the empirical and the true dynamics of excess returns. We find that conditional rules based on ordinary least squares estimates of excess returns are severely biased, and they have a large variance across multiple simulated histories of the model. In this experiment, we find the estimation issues to be so severe that the simple unconditional consumption and portfolio rules, from Merton (1969), actually outperform (in a utility cost sense) both simple and bias-corrected empirical estimates of conditionally optimal policies.
