Efficiency, Overreaction and Underreaction in Stock Markets.A Parsimonious Model of the Three Sided-Coin
The recent financial crisis rekindled the debate on the efficient nature of stock markets. Although the Efficient Market Hypothesis remains a benchmark for the financial theory, the necessity to conjugate it with the disequilibria observed in actual financial markets draws to wonder whether the two aspects can be held into a coherent theoretical framework. We discuss a model able to keep things together in a very parsimonious way; we also provide estimates referred to stock markets consistent with the model.
Efficient Market Hypothesis Underreaction Over-reaction Multifractional Processes with Random Exponent Pointwise Holder exponent Stock Indices
Sergio Bianchi Alexandre Pantanella
Department of Economics and L.I.S.A.University of Cassino (ITALY)
国际会议
上海
英文
617-622
2011-03-11(万方平台首次上网日期,不代表论文的发表时间)