Download or read book Efficient Market Hypothesis and Calendar Effects written by Harish Kumar and published by . This book was released on 2017 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market hypothesis is a cornerstone of modern investment theory that essentially advocates the futility of information in generation of abnormal returns in capital markets over a period of time. However, the existence of anomalies challenge the notion of efficiency in stock markets. Calendar effects, in particular, violate the weak form of efficiency, highlighting the role of past patterns and seasonality in estimating future prices. The present research aims to study the efficiency in Indian stock markets. Using daily and monthly returns of NIFTY 50 data from its inception in January 1995 to December 2015, we employ dummy variable multiple linear regression technique to assess the existence of calendar effects in India stock markets. To correct for volatility clustering and ARCH effect present in the daily returns, the results are modeled using the EGARCH estimation methodology. The study reveals the existence of calendar effects in India in form of a significant Wednesday Effect as well as a significant 'December effect', thereby suggesting that the Indian stock markets do not show informational efficiency even in the weak form, a trait observable in emerging markets.
Download or read book Calendar Effects on the Stock Market written by Anastasiia Pozdniakova and published by . This book was released on 2019 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: For a long time, the Efficient-Market Hypothesis (EMH) was regarded as the fundamental theory of capital market research. It argues that asset prices “fully reflect” all available information; as such, it is impossible to “beat the market” since market prices should only react to new information. Since the end of the 1970s, there has been an increasing amount of empirical research, which has been raising doubts about the EMH. Random walk theory is an important component of the EMH: The more efficient the market, the more random the stock prices change. However, the EMH and the idea of stock prices following a random walk do not amount to the same thing: The random walk of stock prices does not imply that the stock market is efficient with rational traders. On the one hand, criticism of the EMH was based on psychological phenomena subsumed under the term behavioral finance (investors do not act rationally), and on the other based on non-behavioral explanatory approaches such as calendar effects. Calendar effects are mentioned in the literature as an uneven distribution of capital in the stock market. This means that the investment time would play a decisive role in a future performance. If these seasonal patterns materialize in the stock market, the question arises why they are not always considered by investors. Is the existence of such cyclical patterns explainable and still be found in the stock market? The calendar effects, described in the literature, are examined in detail. It is analyzed, whether these anomalies occur constantly, or they have already disappeared. Moreover, the thesis examines, whether the deviations between periods are essential, or simply a temporary paradox. Based on an analysis of certain indices (ATX, CAC40, DAX30, DJIA, IBEX35, and RTSI) two calendar anomalies are examined over time.
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Download or read book Calendar Anomalies And Arbitrage written by William T Ziemba and published by World Scientific. This book was released on 2012-07-25 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating on the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include the presidential election and factor models based on fundamental anomalies. The ideas have been used successfully by the author in personal and managed accounts and hedge funds.
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 Regaining Global Stability After the Financial Crisis written by Sergi, Bruno and published by IGI Global. This book was released on 2018-04-06 with total page 409 pages. Available in PDF, EPUB and Kindle. Book excerpt: The prosperity and stability of any economic structure is reliant upon a foundation of secure systems that regulate the movement of money across the globe. These structures have become an integral part of contemporary society by reducing monetary risk and increasing financial security. Regaining Global Stability After the Financial Crisis is a critical scholarly publication that examines the after-effects of the economic slowdown and the steps that have been taken to overcome the consequences of the slowdown as well as strategies to reduce its impact on economies and societies. Highlighting a wide range of topics including economic convergence, risk management, and public policy for financial stability, this book is geared toward academicians, practitioners, students, managers, and professionals in the financial sector seeking current research on regaining a sense of safety and security after a time of economic crisis.
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 Turn of the Month Effect for the European Stock Market written by Firoozeh Kolahi and published by . This book was released on 2006 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: A central challenge to the Efficient Market Hypothesis (EMH) is the existence of stock market anomalies. The current study tries to examine turn of month effect on two European markets. This allows us to examine whether the seasonal patterns usually found in US data are also present in European data. According to the results, the average return for European stocks is higher for the last day of calendar months and the very first days of the following calendar months. The monthly effect is independent of other known calendar anomalies such as January effect documented by others, and also the results are consistent with the US results.
Download or read book Calendar Anomalies and Arbitrage written by W. T. Ziemba and published by World Scientific. This book was released on 2012 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk' arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month. January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating in the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include some of these as well as presidential election, factor models based on fundamental anomalies and other effects. The ideas have been used successfully by the author in personal and managed accounts and hedge funds. Book jacket.
Download or read book Price Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
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 Information Efficiency and Anomalies in Asian Equity Markets written by Qaiser Munir and published by Taylor & Francis. This book was released on 2016-10-04 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.
Download or read book Calendar Effects in Pakistani Stock Market written by Shahid Ali and published by . This book was released on 2020 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims to test the validity of Efficient Market Hypothesis in the Pakistani context. The paper investigates calendar anomalies in the Pakistani stock market by taking data of stock returns of about fifteen years from November 1991 to October 2006. Using one Factor ANOVA the main hypotheses about equality in returns on daily/weekly/monthly basis are tested using F-test and are found to be insignificant, Autoregressive Integrated Moving Averages (ARIMA) and Ordinary Least Squares (OLS) are also extended as an alternate procedure to look for any above average returns reaped by market players. An AR(1) model is fitted on the data along with a simple linear regression model to test the slopes. Serial correlation in the data is looked after and the study concludes that there is no day of the week effect, weekly effect or month effect in stock returns in Pakistani equity market.
Download or read book Anomalies in the European REITs Market written by G. Mattarocci and published by Springer. This book was released on 2014-06-24 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyses calendar anomalies in the real estate industry with a focus on the European market. It considers annual, monthly and weekly calendar anomalies looking at a representative sample of European REITs and highlights the main differences amongst the countries.
Download or read book Market Trends written by Source Wikipedia and published by University-Press.org. This book was released on 2013-09 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. Pages: 115. Chapters: Behavioral finance, Calendar effect, Fundamental analysis, Technical analysis, Stock market bubble, Gambler's fallacy, Cash flow, Market trend, Sunk costs, Efficient-market hypothesis, Daniel Kahneman, Amos Tversky, List of cognitive biases, Chartist, Behavioral economics, Stock valuation, Stock selection criterion, Elliott Wave Principle, Risk aversion, Neuroeconomics, St. Petersburg paradox, Beta, Value investing, Robert J. Shiller, Grand supercycle, Quantitative behavioral finance, Herd behavior, Walk Forward Optimization, Equity premium puzzle, Hyperbolic discounting, Volatility, Candlestick pattern, Book value, Perth Leadership Outcome Model, Loss aversion, Market Technicians Association, Allais paradox, Earnings before interest, taxes, depreciation and amortization, Trend following, Arnaud Legoux Moving Average, Prospect theory, Information cascade, Hindenburg Omen, Dow Theory, Open interest, Behavioral analysis of markets, Keynesian beauty contest, Period of financial distress, Terminal value, Drummond Geometry, Richard Thaler, Business valuation standard, Base rate fallacy, Fat tail, The Elliott Wave Theorist, Chepakovich valuation model, Money illusion, Global recession, Halloween indicator, Dumb agent theory, Enterprise value, Earnings before interest and taxes, Chartered Market Technician, Endowment effect, Spending wave, Restricted stock, Mental accounting, Dead cat bounce, Growth stock, Odd lotter, Choice architecture, Currency strength, Hersh Shefrin, Mean reversion, Anecdotal value, McKellar algorithm, Post-earnings-announcement drift, Momentum, Net Operating Assets, Financial Markets and Portfolio Management, Journal of Behavioral Finance, Earnings per share, NOPAT, Magic Formula Investing, Volume Spread Analysis, Economic expansion, January effect, Chart pattern, Equity value, Status quo bias, ..
Download or read book Weak Form of Efficiency of Stock Market written by Dr. Kinjal Jethwani and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The temptation of earning big money has always thrown investors into the lap of stock markets. However, investing and making money in equities is not simple. It requires lots of patience and discipline with great deal of research and a sound understanding of the market, among others. The concept of Efficient Market Hypothesis (EMH) is related to the research and return one can earn from investing in stock market. The meaning of Efficient Market Hypothesis is that the stock prices already reflect all available information so one cannot make any extraordinary profit with any different strategy. However, there are some other concepts like calendar effect, weekend effect which negates EMH. The simple meaning EMH is type of information and discounting of the same in stock market. EMH basically focuses on three types of information i.e. Past Information, Present Information and Insider Information. In this study, the research papers related to past information are reviewed. This study, which is qualitative in nature, intends to explain the movement of stock prices with respect to arrival of past information. The study is not limited to Indian stock market and we have tried to cover research papers from various countries. After reviewing 50 papers, it is concluded that majority of stock market are not weak form of efficient.
Download or read book Short Introduction to Corporate Finance written by Raghavendra Rau and published by Cambridge University Press. This book was released on 2017-01-11 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Short Introduction to Corporate Finance provides an accessibly written guide to contemporary financial institutional practice. Rau deploys both his professional expertise and experience of teaching MBA and graduate-level courses to produce a lively discussion of the key concepts of finance, liberally illustrated with real-world examples. Built around six essential paradigms, he builds an integrated framework covering all the major ideas in finance over the past half-century. Ideal for students and practitioners alike, it will become core reading for anyone aspiring to become an effective manager.
