Analysis of the Efficiency of Financial Markets: a Critical Review PDF Download

Author: Graeme G. Rodger
Publisher:
ISBN:
Category :
Languages : en
Pages : 81

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Author: Sascha Kurth
Publisher: GRIN Verlag
ISBN: 3656035253
Category : Business & Economics
Languages : en
Pages : 23

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Book Description
Seminar paper from the year 2011 in the subject Business economics - Investment and Finance, grade: 1,0, University of Hull, course: Current Issues Financial Management, language: English, abstract: The study examines and critical reviews the literature for the different implications based on the three levels of the Efficient Market Hypothesis for investors and company managers. If the weak form of the EMH holds, the technical analyse is useless, but ninety percent of traders in London are using it. If the semi-strong-form holds the fundamental analysis, study of published accounts, search for undervalued companies are useless and investors should be focus on diversification and avoiding of transaction costs. Furthermore the semi-strong form would imply for managers, that accounting disclosure to deceived shareholders is useless, the company market value is the best indicator for the company value and management decisions, the company does not need specialists for the timing of issues and there are no opportunities for a cheap acquisition of another company. At least if the strong-form of the EMH holds, it would imply that even with insider information it would not be possible to get above average returns. The literature shows, that the studies of EMH have made an important contribution to our understanding of the security market. It also shows that in some cases scientific results do not strong influence the behaviour of manager and investors in the “real world”.

Author: Emilio Barucci
Publisher: Springer Science & Business Media
ISBN: 9781852334697
Category : Business & Economics
Languages : en
Pages : 488

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A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a mathematically rigorous standpoint and to offer a self-contained critical discussion based on empirical results. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.

Author: Thomas R. Dyckman
Publisher: Prentice Hall
ISBN:
Category : Business & Economics
Languages : en
Pages : 146

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Author: Wing-Keung Wong
Publisher: Mdpi AG
ISBN: 9783036530802
Category : Business & Economics
Languages : en
Pages : 232

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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.

Author: Lars Steilmann
Publisher: GRIN Verlag
ISBN: 3668570256
Category : Business & Economics
Languages : en
Pages : 22

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Seminar paper from the year 2015 in the subject Economics - Finance, grade: 1,3, University of Applied Sciences Essen, language: English, abstract: The process of making decisions on the financial market is influenced by various factors and involves a relatively complex behaviour. In general two factors drive the process, one the financial model, that represents the correlation of risk and return and second the internal factors determined by skill level, investment portfolio and education. This work at hand distinguishes between traditional and modern theory of financial markets. The Efficient Market Hypothesis (EMH) explains that investors act rationally and make economic decisions on a rational basis. These process of decision making is explained in the Expected Utility Theory and assumes that investors are doing everything to optimize their performances, which correlates with the term `homo oeconomicus`. The behavioural financial theory, taken as the modern theory, basically handles individual circumstances that result in decision makings on the market. This work at hand will work out the changes that proceeded over the years and try to explain which way is more sufficient for analysing and understanding occasions on the financial market. The aim is to impart, how behavioural finance tries to explain the financial market with help of models. Furthermore possible shortcoming or critics of these models shall be shown.

Author: Daniel Bar Aharon
Publisher: BRILL
ISBN: 9004549072
Category : Law
Languages : en
Pages : 71

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Book Description
In Financial Transparency & Information Asymmetry: A critical perspective of EU disclosure regime, Daniel Bar Aharon offers an interdisciplinary critical analysis addressing the inherent limitations mandated disclosure have on market discipline.

Author: Simone Polillo
Publisher: Cornell University Press
ISBN: 1501750380
Category : Business & Economics
Languages : en
Pages : 134

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Book Description
The Ascent of Market Efficiency weaves together historical narrative and quantitative bibliometric data to detail the path financial economists took in order to form one of the central theories of financial economics—the influential efficient-market hypothesis—which states that the behavior of financial markets is unpredictable. As the notorious quip goes, a blindfolded monkey would do better than a group of experts in selecting a portfolio of securities, simply by throwing darts at the financial pages of a newspaper. How did such a hypothesis come to be so influential in the field of financial economics? How did financial economists turn a lack of evidence about systematic patterns in the behavior of financial markets into a foundational approach to the study of finance? Each chapter in Simone Polillo's fascinating meld of economics, science, and sociology focuses on these questions, as well as on collaborative academic networks, and on the values and affects that kept the networks together as they struggled to define what the new field of financial economics should be about. In doing so, he introduces a new dimension—data analysis—to our understanding of the ways knowledge advances. There are patterns in the ways knowledge is produced, and The Ascent of Market Efficiency helps us make sense of these patterns by providing a general framework that can be applied equally to other social and human sciences.

Author: Christian Summerer
Publisher: GRIN Verlag
ISBN: 3668876231
Category : Business & Economics
Languages : en
Pages : 20

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Seminar paper from the year 2016 in the subject Economics - Macro-economics, general, grade: 2,0, University of Cologne, course: Seminar Macroeconomics, language: English, abstract: At least since the start of the last financial crisis in 2007, the analysis of financial stability is a broadly investigated field of research. Macroeconomic as well as microeconomic models try to evaluate the effects of distortions (liquidity shocks, substantial losses on equity good markets. . . ) on the financial markets to the stability of all or some areas of the economy. Macroeconomic models mainly evaluate the impacts of such disruptions to benchmarks like GDP, unemployment or international trade and give recommendations regarding how institutions (central banks, governments. . . ) should react. As Blaug indicates, classical, neoclassical and new-classical models can be distinguished in this context. In contrary, microeconomic models are trying to quantify the welfare effects of such events on the level of individual economic participants like households, firms or banks. Most of this literature measure such losses via real-term variables, for example real wages or real consumption. Within such models, this causes instability on the banking/financial sector due to crashes in equity or bank-runs. Just a small group of younger literature, such as Carletti et al. (2009) or Gersbach (2012), examines the question whether modeling nominal but non-contingent contracts instead of real ones improve financial stability in theory. Among this literature, the present article “Money, financial stability and efficiency”, written by Franklin et al. (2014), can be found. The authors consider a standard banking model with aggregate return risk, aggregate liquidity risk and idiosyncratic liquidity shocks. The aim of this term paper is to briefly describe relevant model specifications and main assumptions of the underlying model. Secondly, main findings and their implications regarding the proposed research question will be presented. Finally, this term paper will complete with some critical reflections about the applicability of the model in theoretic and empirical research.

Author: Mario Chinas
Publisher: Library of Cyprus
ISBN: 9789925755608
Category :
Languages : en
Pages : 114

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Book Description
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).