The Ascent Of Market Efficiency

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The Ascent of Market Efficiency

Author : Simone Polillo
Publisher : Cornell University Press
ISBN 13 : 1501750399
Total Pages : 202 pages
Book Rating : 4.5/5 (17 download)

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Book Synopsis The Ascent of Market Efficiency by : Simone Polillo

Download or read book The Ascent of Market Efficiency written by Simone Polillo and published by Cornell University Press. This book was released on 2020-08-15 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

The Efficient Market Theory and Evidence

Author : Andrew Ang
Publisher : Now Publishers Inc
ISBN 13 : 1601984685
Total Pages : 99 pages
Book Rating : 4.6/5 (19 download)

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Book Synopsis The Efficient Market Theory and Evidence by : Andrew Ang

Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.

Adaptive Markets

Author : Andrew W. Lo
Publisher : Princeton University Press
ISBN 13 : 069119680X
Total Pages : 503 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis Adaptive Markets by : Andrew W. Lo

Download or read book Adaptive Markets written by Andrew W. Lo and published by Princeton University Press. This book was released on 2019-05-14 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new, evolutionary explanation of markets and investor behavior Half of all Americans have money in the stock market, yet economists can’t agree on whether investors and markets are rational and efficient, as modern financial theory assumes, or irrational and inefficient, as behavioral economists believe. The debate is one of the biggest in economics, and the value or futility of investment management and financial regulation hangs on the answer. In this groundbreaking book, Andrew Lo transforms the debate with a powerful new framework in which rationality and irrationality coexist—the Adaptive Markets Hypothesis. Drawing on psychology, evolutionary biology, neuroscience, artificial intelligence, and other fields, Adaptive Markets shows that the theory of market efficiency is incomplete. When markets are unstable, investors react instinctively, creating inefficiencies for others to exploit. Lo’s new paradigm explains how financial evolution shapes behavior and markets at the speed of thought—a fact revealed by swings between stability and crisis, profit and loss, and innovation and regulation. An ambitious new answer to fundamental questions about economics and investing, Adaptive Markets is essential reading for anyone who wants to understand how markets really work.

Some Joint Tests of Market Efficiency

Author : Richard T. Baillie
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (732 download)

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Book Synopsis Some Joint Tests of Market Efficiency by : Richard T. Baillie

Download or read book Some Joint Tests of Market Efficiency written by Richard T. Baillie and published by . This book was released on 1984 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Adaptive Markets Hypothesis

Author : Andrew Wen-Chuan Lo
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (57 download)

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Book Synopsis Adaptive Markets Hypothesis by : Andrew Wen-Chuan Lo

Download or read book Adaptive Markets Hypothesis written by Andrew Wen-Chuan Lo and published by . This book was released on 2004 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Market Efficiency and Learning in an Artificial Stock Market

Author : H.A. Benink
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Market Efficiency and Learning in an Artificial Stock Market by : H.A. Benink

Download or read book Market Efficiency and Learning in an Artificial Stock Market written by H.A. Benink and published by . This book was released on 2007 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: An agent-based artificial financial market (AFM) is used to study market efficiency and learning in the context of the Neo-Austrian economic paradigm. Efficiency is defined in terms of the excess profits associated with different trading strategies, where excess is defined relative to a dynamic buy and hold benchmark in order to make a clean separation between trading gains and market gains. We define an Inefficiency matrix that takes into account the difference in excess profits of one trading strategy versus another (signal) relative to the standard error of those profits (noise) and use this statistical measure to gauge the degree of market efficiency. A one-parameter family of trading strategies is considered, the value of the parameter measuring the relative informational advantage of one strategy versus another. Efficiency is then investigated in terms of the composition of the market defined in terms of the relative proportions of traders using a particular strategy and the parameter values associated with the strategies. We show that markets are more efficient when informational advantages are small (small signal) and when there are many coexisting signals. Learning is introduced by considering copycat traders that learn the relative values of the different strategies in the market and copy the most successful one. We show how such learning leads to a more informationally efficient market but can also lead to a less efficient market as measured in terms of excess profits. It is also shown how the presence of exogeneous information shocks that change trader expectations increases efficiency and complicates the inference problem of copycats.

The Market Revolution and its Limits

Author : Alan Shipman
Publisher : Routledge
ISBN 13 : 1134728387
Total Pages : 518 pages
Book Rating : 4.1/5 (347 download)

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Book Synopsis The Market Revolution and its Limits by : Alan Shipman

Download or read book The Market Revolution and its Limits written by Alan Shipman and published by Routledge. This book was released on 2002-01-22 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Market Revolution and its limits summarises why many economists believe that markets are best. It explores how even 'market failures' can be given market solutions, and asks why market ideas seem to have taken such a firm hold. Non-polemical in its approach, this book provides a comprehensive appraisal of the market and its alternatives, backed up with empirical international illustrations. Shipman concludes that the 'revolution' lies in redefining the market process rather than the market outcome.

After Enron

Author : John Armour
Publisher : Bloomsbury Publishing
ISBN 13 : 184731290X
Total Pages : 728 pages
Book Rating : 4.8/5 (473 download)

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Book Synopsis After Enron by : John Armour

Download or read book After Enron written by John Armour and published by Bloomsbury Publishing. This book was released on 2006-11-14 with total page 728 pages. Available in PDF, EPUB and Kindle. Book excerpt: At the end of the twentieth century it was thought by many that the Anglo-American system of corporate governance was performing effectively and some observers claimed to see an international trend towards convergence around this model. There can be no denying that the recent corporate governance crisis in the US has caused many to question their faith in this view. This collection of essays provides a comprehensive attempt to answer the following questions: firstly, what went wrong - when and why do markets misprice the value of firms, and what was wrong with the incentives set by Enron? Secondly, what has been done in response, and how well will it work - including essays on the Sarbanes-Oxley Act in the US, UK company law reform and European company law and auditor liability reform, along with a consideration of corporate governance reforms in historical perspective. Three approaches emerge. The first two share the premise that the system is fundamentally sound, but part ways over whether a regulatory response is required. The third view, in contrast, argues that the various scandals demonstrate fundamental weaknesses in the Anglo-American system itself, which cannot hope to be repaired by the sort of reforms that have taken place. "This collection of papers by leading US and European corporate law scholars provides fresh and rigorous analyses of the recent corporate governance scandals and the strategies devised by regulators to guard against future governance failures." Randall Thomas, John Beasley Professor of Law and Business, Vanderbilt University School of Law, Vanderbilt University.

The Ascent of Money

Author : Niall Ferguson
Publisher : Penguin
ISBN 13 : 1440654026
Total Pages : 498 pages
Book Rating : 4.4/5 (46 download)

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Book Synopsis The Ascent of Money by : Niall Ferguson

Download or read book The Ascent of Money written by Niall Ferguson and published by Penguin. This book was released on 2008-11-13 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 10th anniversary edition, with new chapters on the crash, Chimerica, and cryptocurrency "[An] excellent, just in time guide to the history of finance and financial crisis." —The Washington Post "Fascinating." —Fareed Zakaria, Newsweek In this updated edition, Niall Ferguson brings his classic financial history of the world up to the present day, tackling the populist backlash that followed the 2008 crisis, the descent of "Chimerica" into a trade war, and the advent of cryptocurrencies, such as Bitcoin, with his signature clarity and expert lens. The Ascent of Money reveals finance as the backbone of history, casting a new light on familiar events: the Renaissance enabled by Italian foreign exchange dealers, the French Revolution traced back to a stock market bubble, the 2008 crisis traced from America's bankruptcy capital, Memphis, to China's boomtown, Chongqing. We may resent the plutocrats of Wall Street but, as Ferguson argues, the evolution of finance has rivaled the importance of any technological innovation in the rise of civilization. Indeed, to study the ascent and descent of money is to study the rise and fall of Western power itself.

Market Sense and Nonsense

Author : Jack D. Schwager
Publisher : John Wiley & Sons
ISBN 13 : 1118494563
Total Pages : 373 pages
Book Rating : 4.1/5 (184 download)

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Book Synopsis Market Sense and Nonsense by : Jack D. Schwager

Download or read book Market Sense and Nonsense written by Jack D. Schwager and published by John Wiley & Sons. This book was released on 2012-11-06 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bestselling author, Jack Schwager, challenges the assumptions at the core of investment theory and practice and exposes common investor mistakes, missteps, myths, and misreads When it comes to investment models and theories of how markets work, convenience usually trumps reality. The simple fact is that many revered investment theories and market models are flatly wrong—that is, if we insist that they work in the real world. Unfounded assumptions, erroneous theories, unrealistic models, cognitive biases, emotional foibles, and unsubstantiated beliefs all combine to lead investors astray—professionals as well as novices. In this engaging new book, Jack Schwager, bestselling author of Market Wizards and The New Market Wizards, takes aim at the most perniciously pervasive academic precepts, money management canards, market myths and investor errors. Like so many ducks in a shooting gallery, Schwager picks them off, one at a time, revealing the truth about many of the fallacious assumptions, theories, and beliefs at the core of investment theory and practice. A compilation of the most insidious, fundamental investment errors the author has observed over his long and distinguished career in the markets Brings to light the fallacies underlying many widely held academic precepts, professional money management methodologies, and investment behaviors A sobering dose of real-world insight for investment professionals and a highly readable source of information and guidance for general readers interested in investment, trading, and finance Spans both traditional and alternative investment classes, covering both basic and advanced topics As in his best-selling Market Wizard series, Schwager manages the trick of covering material that is pertinent to professionals, yet writing in a style that is clear and accessible to the layman

Markets with Bureaucratic Characteristics

Author : Yingyao Wang
Publisher : Columbia University Press
ISBN 13 : 023156046X
Total Pages : 281 pages
Book Rating : 4.2/5 (315 download)

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Book Synopsis Markets with Bureaucratic Characteristics by : Yingyao Wang

Download or read book Markets with Bureaucratic Characteristics written by Yingyao Wang and published by Columbia University Press. This book was released on 2024-05-21 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: China’s breathtaking economic development has been driven by bureaucrats. Even as the country transitioned away from socialist planning toward a market economy, the economic bureaucracy retained a striking degree of influence and control over crafting and implementing policy. Yet bureaucrats are often dismissed as faceless and inconsequential, their role neglected in favor of party leaders’ top-down rule or bottom-up initiatives. Markets with Bureaucratic Characteristics offers a new account of economic policy making in China over the past four decades that reveals how bureaucrats have spurred large-scale transformations from within. Yingyao Wang demonstrates how competition among bureaucrats motivated by careerism has led to the emergence of new policy approaches. Second-tier economic bureaucrats instituted distinctive—and often conflicting—“policy paradigms” aimed at securing their standing and rewriting China’s long-term development plans for their own benefit. Emerging from the middle levels of the bureaucracy, these policy paradigms ultimately reorganized the Chinese economy and reshaped state-market relations. Drawing on fine-grained biographical and interview data, Wang traces how officials coalesced around shared career trajectories, generational experiences, and social networks to create new alliances and rivalries. Shedding new light on the making and trajectory of China’s ambitious economic reforms, this book also provides keen sociological insight into the relations among bureaucracy, states, and markets.

Beyond the Random Walk

Author : Vijay Singal
Publisher : Financial Management Association Survey and Synthesis Series
ISBN 13 : 0195304225
Total Pages : 369 pages
Book Rating : 4.1/5 (953 download)

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Book Synopsis Beyond the Random Walk by : Vijay Singal

Download or read book Beyond the Random Walk written by Vijay Singal and published by Financial Management Association Survey and Synthesis Series. This book was released on 2006 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an efficient market, all stocks should be valued at a price that is consistent with available information. But as financial expert Singal points out, there are circumstances under which certain stocks sell at a price higher or lower than the right price. Here he discusses ten such anomalous prices and shows how investors might--or might not--be able to exploit these situations for profit.

The Mechanisims [sic] of Market Efficiency Twenty Years Later

Author : Ronald J. Gilson
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (249 download)

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Book Synopsis The Mechanisims [sic] of Market Efficiency Twenty Years Later by : Ronald J. Gilson

Download or read book The Mechanisims [sic] of Market Efficiency Twenty Years Later written by Ronald J. Gilson and published by . This book was released on 2003 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: A retrospective view of the authors' paper, The mechanisms of market efficiency (1983), in its relation to various economic models, and especially behavioral finance.

Market Efficiency and Real Efficiency

Author : Itay Goldstein
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Market Efficiency and Real Efficiency by : Itay Goldstein

Download or read book Market Efficiency and Real Efficiency written by Itay Goldstein and published by . This book was released on 2016 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a model to explore the (dis)connect between market efficiency and real efficiency when real decision makers learn information from the market to guide their actions. We emphasize two channels that determine whether the two efficiency concepts are aligned. The "externality channel" says that individual learning outcomes may not always map into real efficiency because the presence of externality causes real decision makers to overuse the price information. The "(mis)match channel" emphasizes the fact that market efficiency concerns how much information the market reveals about the overall firm value, while improving real efficiency needs the market to reveal much information that is relevant for real decisions. Our analysis highlights the delicate link between market efficiency and real efficiency.

The Political Economy of Financial Regulation

Author : Emilios Avgouleas
Publisher : Cambridge University Press
ISBN 13 : 110847036X
Total Pages : 531 pages
Book Rating : 4.1/5 (84 download)

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Book Synopsis The Political Economy of Financial Regulation by : Emilios Avgouleas

Download or read book The Political Economy of Financial Regulation written by Emilios Avgouleas and published by Cambridge University Press. This book was released on 2019-01-31 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: Examines the law and policy of financial regulation using a combination of conceptual analysis and strong empirical research.

Market Efficiency in the Age of Big Data

Author : Ian Martin
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (113 download)

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Book Synopsis Market Efficiency in the Age of Big Data by : Ian Martin

Download or read book Market Efficiency in the Age of Big Data written by Ian Martin and published by . This book was released on 2019 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our model economy, which resembles a typical machine learning setting, N assets have cash flows that are a linear function of J firm characteristics, but with uncertain coefficients. Risk-neutral Bayesian investors impose shrinkage (ridge regression) or sparsity (Lasso) when they estimate the J coefficients of the model and use them to price assets. When J is comparable in size to N, returns appear cross-sectionally predictable using firm characteristics to an econometrician who analyzes data from the economy ex post. A factor zoo emerges even without p-hacking and data-mining. Standard in-sample tests of market efficiency reject the no-predictability null with high probability, despite the fact that investors optimally use the information available to them in real time. In contrast, out-of-sample tests retain their economic meaning.

Experimental Economics: Financial Markets, Auctions, and Decision Making

Author : Fredrik Nils Andersson
Publisher : Springer Science & Business Media
ISBN 13 : 1461509173
Total Pages : 249 pages
Book Rating : 4.4/5 (615 download)

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Book Synopsis Experimental Economics: Financial Markets, Auctions, and Decision Making by : Fredrik Nils Andersson

Download or read book Experimental Economics: Financial Markets, Auctions, and Decision Making written by Fredrik Nils Andersson and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: Experimental Economics: Financial Markets, Auctions, And Decision Making is based on research presented at the 20th Arne Ryde Symposium on Experimental Economics, held on November 9-11 at Lund University. The volume is divided into two parts. In Part I, interviews with prominent researchers in the field, all invited speakers at the Symposium, are presented. Those interviewed are Peter Bohm, Catherine Eckel, Werner Güth, John Hey, Daniel Kahneman, Alvin Roth, Vernon Smith, and Martin Weber. The interviews address important questions about basic experimental methods and the interpretation of results. In addition, these researchers answer questions relating to their specific fields and to their contributions at the Symposium. They are also asked to single out the most important findings in the field. Part II contains selected contributions from the conference. Topics covered include attitudes towards risk and inequality; pitfalls in experimental economics; analysis of trading-period duration; robustness in learning; video experiments on decision making and fairness; sequential prisoners' dilemmas; and collusion in auctions.