Efficiency, Overreaction and Underreaction in Stock Markets.A Parsimonious Model of the Three Sided-Coin

摘要：

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.

关键词： Efficient Market Hypothesis Underreaction Over-reaction Multifractional Processes with Random Exponent Pointwise Holder exponent Stock Indices

作者: Sergio Bianchi Alexandre Pantanella

作者单位: Department of Economics and L.I.S.A.University of Cassino (ITALY)

会议类型: 国际会议

会议名称: 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)

会议地点: 上海

会议语种:英文

页码: 617-622

在线出版日期: 2011-03-11（万方平台首次上网日期，不代表论文的发表时间）