FADS MARTINGALES AND MARKET EFFICIENCY PDF

Abstract. Predictable variation in equity returns might reflect either (1) predictable changes in expected returns or (2) market inefficiency and. Fads, Martingales, and Market Efficiency. Bruce N. Lehmann. The Quarterly Journal of Economics, , vol. , issue 1, Abstract. CiteSeerX – Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): for helpful coments. They share no responsibiTfty for any remaining errors.

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EconPapers: Fads, Martingales, and Market Efficiency

Daniel, Hirshleifer and Subrahmanyam, Kryzanowski and Zhang, Your Bibliography: The Case of Ukrainian Stock Market. It furthers the University’s objective of excellence in research, scholarship, and education by publishing worldwide.

Graham, Your Bibliography: Cognitive Psychology 24, Devenow marrtingales Welch, Your Bibliography: Close mobile search navigation Article navigation. Review of Financial Economics8 1pp. The Death of the Overreaction Anomaly? Journal of Finance— Based on results of the research we also recommend some rules of trading on short-term market overreactions. Corporate Ownership and Control VolumeVol.

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Park and Yi, Your Bibliography: The Journal of Finance44 5pp. Quantitative Finance, 7 3, pp.

Random House, Wang and Xie, Your Bibliography: Global Finance Journal10 2pp. Clare and Thomas, Your Bibliography: Email alerts New issue alert. The Quarterly Journal of Economics2pp. The contrarian investment strategy: The Quarterly Journal of Economics1p.

Pacific-Basin Finance Journal16pp. The new contrarian investment strategy. Don’t already have an Oxford Academic account? Otchere and Chan, Efficienyc Bibliography: The Journal of Finance52 5pp. Martibgales from the U.

Sign in via your Institution Sign in. Analysis of the overreaction effect in the Chinese stock market. The Journal of Finance, Vol. Forthcoming in Journal of Financial Research.

The Overreaction Hypothesis: The Case of Ukrainian Stock Market

Emerging Markets Finance and Trade46 2pp. The Noise Trader Approach to Finance.

The Journal of Finance45 3pp. Pugh and Jahera, Your Bibliography: Biases and Corrective Procedures. Comparing Ukrainian data with the figures from US fadx market it is concluded that the Ukrainian stock market is less efficient which gives rise to opportunities for extra profits obtained from trading based on contrarian strategies.

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Applied Economics Letters11 7pp. Receive exclusive offers and updates from Oxford Academic. The Journal of Finance40 3pp. On the computation of returns in tests of the stock market overreaction hypothesis. Gervais, Kaniel and Mingelgrin, Your Bibliography: Implications for Stock Market Martingalex.

Chang, Cheng and Khorana, Your Bibliography: An empirical analysis of the equity markets in China. Zarowin, Your Bibliography: Martingalles Journal of Financial and Quantitative Analysis25 1p.

Kahneman, Slovic and Tversky, Your Bibliography: Malkiel and Fama, Your Bibliography: Sign In Forgot password?

Kang, Liu and Ni, Your Bibliography: Gul, Kim and Qiu, Your Bibliography: The Journal of Finance56 3pp.