Results 31 to 40 of about 8,905,614 (368)
Efficiency of the foreign currency options market [PDF]
, 2008 This paper provides a new test of the efficiency of the currency option markets for four major currencies-British Pound, Euro, Swiss Frank and Japanese Yen vis-a-vis the U.S. dollar.
Ariful Hoque +31 more
core +1 more source
Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment
Journal of Financial Economics, 2018 We study how sophisticated investors, when faced with changes in information environment, adjust their information acquisition and trading behavior, and how these changes in turn affect market efficiency.
Yong Chen, B. Kelly, Wei Wu
semanticscholar +1 more source
A Simple but Powerful Measure of Market Efficiency
Finance Research Letters, 2019 We construct a simple measure to quantify the level of market efficiency. We apply this measure to investigate the level of market efficiency and analyze its variation over time.
Vu Le Tran, T. Leirvik
semanticscholar +1 more source
Entropy and Efficiency of the ETF Market [PDF]
, 2019 We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Shannon entropy, applied to 2-symbol and 3-symbol discretisations of the ...
A Shmilovici +11 more
core +1 more source
Economies, 2017 Both stochastic dominance and Omegaratio can be used to examine whether the market is efficient, whether there is any arbitrage opportunity in the market and whether there is any anomaly in the market.
Xu Guo, Xuejun Jiang, Wing-Keung Wong
doaj +1 more source
Rating changes and the impact on stock prices
Revista Brasileira de Gestão De Negócios, 2020 Purpose – The objective of this study is to analyze the impact of changes in credit ratings on the long-term return of Brazilian firms. Design/methodology/approach – We conducted an event study to measure how stock prices in the Brazilian stock ...
Bruno Borges Baraccat +2 more
doaj +1 more source
Quarterly earnings, operating cash flow, and accruals in future performance assessment
BAR: Brazilian Administration Review, 2021 This paper analyzes the informative content of quarterly earnings, operating cash flows, and accruals to assess future performance. The empirical analysis is based on 270 Brazilian non-financial firms listed on B3 from 2005 to 2018. Autoregressive models
Renê Coppe Pimentel +1 more
doaj +1 more source
On the Efficiency of Energy Markets with Non-Merchant Storage [PDF]
, 2022 Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets, existing works commonly make simplifying assumptions about the end-of-horizon storage level, e.g., by imposing an ...
arxiv +1 more source
The market efficiency in the stock markets [PDF]
, 2007 We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500 (S&P 500 ...
Cajueiro +32 more
core +2 more sources
Retraction: Assessment of Russian banking system performance and sustainability [PDF]
Banks and Bank Systems, 2019 Retracted on August 17, 2020 by the Journal’s owner and Publisher. Type of retraction – plagiarism.There wasn’t a request for this retraction, but the reason for investigation of plagiarism fact was the Russian Academy of Sciences Committee’s report ...
Evgeniy Lopatin
doaj +1 more source