会议专题

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

2011 International Conference on Economics, Business and Marketing Management(EBMM 2011)(2011年经济、商业和营销管理国际会议)

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)