Download or read book The Speculative Efficiency Hypothesis written by John F. O. Bilson and published by . This book was released on 2008 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hypothesis that forward prices are the best unbiased forecast of future spot prices is often presented in the economic and financial analysis of futures markets. This paper considers the hypothesis independently of its implications for rational expectations or market efficiency and in order to stress this fact, the term quot;speculative efficiencyquot; is used to characterize the state envisaged under the hypothesis. If a market is subject to efficient speculation, the supply of speculative funds is infinitely elastic at the forward price that is equal to the expected future spot price. The expected future spot price is a market price determined as the solution to the underlying rational expectations macroeconomic model. Although the paper is primarily concerned with testing this hypothesis in the foreign exchange market, the methodology introduced in the paper is of general application to all futures markets.
Download or read book Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hypothesis written by C. L. Osler and published by . This book was released on 1989 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Validity of the efficient market hypothesis in times of speculative investment bubbles Strategy of a successful IPO written by Johannes Walder and published by GRIN Verlag. This book was released on 2013-04-10 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2012 in the subject Business economics - Investment and Finance, grade: 89%, University of Greenwich (Business), course: Finance, language: English, abstract: It can be assumed that the internet was one of the most influential inventions of the 20th century. The internet opened up completely new ways of communicating and executing businesses. It enabled shopping portals like Amazon or eBay to emerge and revolutionise the shopping experience of millions of customers worldwide. The new economy was a Symbol for seemingly endless possibilities and a market with no limits. However, all those new ways of doing business could not prevent one of the biggest stock market crashes in modern history caused by the dot.com bubble. This essay examines if the dot.com bubble stands in contradiction to the efficient market hypothesis (EMH) and their underlying assumptions. It will be argued that in the short term the efficient market can be bypassed but it will regulate itself again in the long run. The second part describes the strategy of a successful initial public offering (IPO) and analyses if the EMH has an impact on this endeavour. This paper will claim that the EMH influences the pricing of stocks and that a long term strategy is a key for a successful IPO.
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 Interest rate term premiums and the failure of trade speculative efficiency hypothesis written by C.L. Osler and published by . This book was released on 1989 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hypothesis written by Carol Lee Osler and published by . This book was released on 1989 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a new parity condition for international financial markets which relates differences between the forward exchange rate and the expected future exchange rate to interest rate term premiums. It begins with the general proposition that VIP cannot hold for all maturity horizons if interest rate term premiums are imperfectly correlated across countries and expectations are rational. The conditions under which VIP could hold for multiple horizons, under these two assumptions, are found to be very restrictive. It is argued that if VIP holds at all under these circumstances, it is only likely to hold at a very short time horizon. Finally, it is shown that under these assumptions, if VIP holds at the shortest time horizon then the difference between forward exchange rates and expected future spot rates at all other horizons will be the difference in expected term premiums at each maturity.
Download or read book Informational Efficiency in Speculative Markets written by Hans-Michael Geiger and published by Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften. This book was released on 1989 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this work is to provide a critical presentation and some extensions of two perspectives of informational efficiency: On the one hand the neoclassical perspective or «arithmomorphic approach» explains efficiency in terms of a concept mainly based on an explicit economic theory. On the other hand, in the Austrian perspective or «causal genetic approach» attention is drawn to the entrepreneurial element of human decision making related to an arbitrage theory of profit which is not traced back to anonymous market forces but rather to incessant discovery of information guided by entrepreneurial alertness.
Download or read book Testing Speculative Efficiency written by Guay C. Lim and published by . This book was released on 1995 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing the Speculative Efficiency Hypothesis on Co2 Emission Allowance Prices written by Olivier Darné and published by . This book was released on 2014 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we attempt to examine the speculative efficiency hypothesis on CO2 emission allowance prices negotiated on Bluenext, by testing the relationship between futures and spot prices from the Fama (1970) framework. This approach is based on the joint hypothesis of no risk premium and unbiasedness of futures prices. Cointegration tests are performed to confirm the legitimacy of futures and spot prices being included in the regression, following the approach proposed by Balke and Fomby (1997). The results indicate the absence of linear and nonlinear cointegration relationship between spot and futures prices. The speculative efficiency hypothesis did not hold even if the joint hypothesis is not rejected because of the existence of serial correlation in the residuals.
Download or read book The Efficient Market Hypothesis and Its Application to Stock Markets written by Sebastian Harder and published by GRIN Verlag. This book was released on 2010-11 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.7, The FOM University of Applied Sciences, Hamburg, language: English, abstract: Especially after the 90ies, where the stock markets raised enormously, many private investors joined the stock market and were blended by abnormal profits and neglected possible losses. The same behavior could be observed before the Financial Crisis became reality. But each endless raising stock market would finally collapse, because stock prices are randomly and only driven by relevant news. The adjustment to the news is quickly. This is the theoretical argumentation of the Efficient Market Hypothesis (EMH), which will be evaluated in this paper. The author gives an overview about the EMH by explaining the basic principles and its mathematical formulation. The practical part evaluated the EMH on selected examples, where the theory could only be partly approved.
Download or read book Hans Michael Geiger Informational Efficiency in Speculative Markets A Theoretical Investigation written by and published by . This book was released on 2018 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this work is to provide a critical presentation and some extensions of two perspectives of informational efficiency: On the one hand the neoclassical perspective or «arithmomorphic approach» explains efficiency in terms of a concept mainly based on an explicit economic theory. On the other hand, in the Austrian perspective or «causal genetic approach» attention is drawn to the entrepreneurial element of human decision making related to an arbitrage theory of profit which is not traced back to anonymous market forces but rather to incessant discovery of information guided by entrepreneurial alertness.
Download or read book Efficiency of Racetrack Betting Markets written by Donald B. Hausch and published by World Scientific. This book was released on 2008 with total page 679 pages. Available in PDF, EPUB and Kindle. Book excerpt: A reprint of one of the classic volumes on racetrack efficiency, this book is the only one in its field that deals with the racetrack betting market in-depth, containing all the important historical papers on racetrack efficiency. As evidenced by the collection of articles, the understanding of racetrack betting is clearly drawn from, and has correspondingly returned something to, all the fields of psychology, economics, finance, statistics, mathematics and management science.
Download or read book Efficient Market Hypothesis written by Mario Chinas and published by Library of Cyprus. This book was released on 2019-02-23 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the Black & White version of the book, available at a discount, which does not include the research data and analysis tables. There is also a Full Colour version that includes all the research data and analysis tables. What is a Stock Market? How do stock markets operate? Who invests in a stock market and when is it an appropriate tool for investment? Why do we care if a stock market is efficient or not? Where can we find evidence of market efficiency? With what tools can we test market efficiency?These are some of the questions that this book approaches. The Efficient Market Hypothesis (EMH) is a theory in financial economics, developed by Eugene Fama, which states that asset prices fully reflect all available information. Thus, it is implied that stocks always trade at their fair value, making it impossible for investors to "beat the market" via technical or fundamental analysis, since market prices should only react to new information.There are three variants of the EMH: "weak," "semi-strong," and "strong" form. The weak form of the EMH claims that prices already reflect all past publicly available market information. The semi-strong form claims that prices reflect all publicly available information, thus price changes occur to reflect new publicly available information. The strong form adds to this that prices instantly reflect even hidden private "insider" information.Testing the EMH is no easy task: Quantifying the availability of information and its effect on prices and market efficiency is challenging, making research on the subject difficult, time consuming and open to criticism. However, anecdotal evidence suggests that markets at best reach semi-strong form efficiency, with weak form efficiency being the norm. However, even this is challenged by the critics of EMH, via concepts such as Behavioural Finance.This book aims to familiarise the reader with the concept of EMH, covering the fundamentals and relevant literature. We then discuss market efficiency tests for Weak Form Market Efficiency, examining in more detail the day-of-the-week effect and its significance on stock market efficiency. The day-of-the-week effect is defined as a pattern where a certain day of the week has abnormal returns continuously. It is an anomaly that violates the random walk hypothesis, and thus implies that a market is not Weak Form efficient.We put theory into practice through the Empirical Research section which is divided into two parts, looking at two different approaches to researching the day-of-the-week effect, via the examination of actual research examples on a small European stock exchange. Both of these Thesis tested the hypothesis of random walk to determine the authenticity of weak form market efficiency for a small emerging stock market within the EU (the Cyprus Stock Exchange).
Download or read book Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hypothesis written by Carol L. Osler and published by . This book was released on 2008 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a new parity condition for international financial markets which relates differences between the forward exchange rate and the expected future exchange rate to interest rate term premiums. It begins with the general proposition that VIP cannot hold for all maturity horizons if interest rate term premiums are imperfectly correlated across countries and expectations are rational. The conditions under which VIP could hold for multiple horizons, under these two assumptions, are found to be very restrictive. It is argued that if VIP holds at all under these circumstances, it is only likely to hold at a very short time horizon. Finally, it is shown that under these assumptions, if VIP holds at the shortest time horizon then the difference between forward exchange rates and expected future spot rates at all other horizons will be the difference in expected term premiums at each maturity.
Download or read book The Efficient Market Hypothesis and its Validity in Today s Markets written by Stefan Palan and published by GRIN Verlag. This book was released on 2004-12-21 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thesis (M.A.) from the year 2004 in the subject Business economics - Investment and Finance, grade: 1 (A), University of Graz (Institute für Industrial Economics), language: English, abstract: This Master Thesis gives an overview of the research into the efficient market hypothesis from its first days in the 1950s to the present. The discussion of theoretical models and concepts is being complemented by a review of relevant empirical evidence from international capital markets. The thesis is completed by a brief outlook on newer research venues, including models employing behavioural finance approaches.
Download or read book Information Efficiency in Speculative Markets written by Erwin Verbeek and published by . This book was released on 2011 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Rational Expectations and Efficiency in Futures Markets written by Barry Goss and published by Routledge. This book was released on 2005-10-09 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.
