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A Reappraisal of the Efficiency of Financial Markets

Author: Rui M C Guimarães; Brian G Kingsman; Stephen J Taylor
Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 1989.
Series: NATO ASI series., Series F,, Computer and systems sciences ;, 54.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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Proceedings of the NATO Advanced Research Workshop on a Reappraisal of the Efficiency of Financial Markets, held in Sesimbra, Portugal, April 11-15, 1988

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Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Rui M C Guimarães; Brian G Kingsman; Stephen J Taylor
ISBN: 9783642747410 3642747418 9783642747434 3642747434
OCLC Number: 864682013
Description: 1 online resource.
Contents: The NATO Advanced Research Workshop on 'A reappraisal of the efficiency of financial markets' --
Section 1 Survey Papers --
What do we know about stock market 'efficiency'? --
Stock price reversals and overreaction to new events: A survey of theory and evidence --
Comments --
Seasonal anomalies in financial markets: A survey --
Comments --
Section 2 Size and Earnings Anomalies --
Earnings yield and size effects: Unconditional and conditional estimates --
A look at the validity of the CAPM in the light of equity market anomalies: The case of Belgian common stocks --
Market size, PE ratios, dividend yield and share prices: The UK evidence --
Comments --
Section 3 Seasonal and Other Anomalies --
Canadian calendar anomalies and the capital asset pricing model --
Comments --
An investigation of daily seasonality in the Greek equity market --
Comments --
Random walks and anomalies on the Copenhagen stock exchange in the 1890's --
Comments --
January skewness, another enigma? --
Forecasting price trends at the Lisbon stock exchange --
Comments --
Section 4 Initial and Repurchase Stock Offers --
The market for initial public offerings: An analysis of the Amsterdam stock exchange (1982-7) --
French new issues, underpricing and alternative methods of distribution --
Going public in the F.R.G. --
Trading rules around repurchase tender offers --
Section 5 Excess Price Volatility --
Price-conditional vector autoregressions and theories of stock price determination --
Comments --
Is the UK equity market consistent with the 'efficient markets' model? --
Comments --
Rational expectations and perfect foresight prices --
A re-examination of excess rational price approximations and excess volatility in the stock market --
Comments --
The Italian stock market: Efficiency and price formation --
Section 6 General Papers --
The impact of EMH logic in practice --
Comments --
The efficiency of the Chicago Board of Trade futures and futures options markets --
Section 7 Currency Markets --
The stability of speculative profits in the foreign exchanges --
Further evidence against the efficiency of futures markets --
Comments --
Analysts expectations and risk premia in the forward foreign exchange market: An empirical investigation --
Comments --
Section 8 Commodity Markets --
Monetary and economic influences in econometric models of international commodity price behaviour --
Comments --
Market efficiency and commodity prices: Forecasting soyabean prices on the Chicago market --
Purchasing maize futures under a deadline: Testing and risk-yield evaluation of a price-trend buying policy --
Comments --
A state-space approach to forecasting commodity prices --
Section 9 Options Markets --
An empirical test of the option pricing model based on EOE transactions data --
The pricing of Euromarket warrants on Japanese stocks: A preliminary study --
Comments --
Workshop participants.
Series Title: NATO ASI series., Series F,, Computer and systems sciences ;, 54.
Other Titles: Proceedings of the NATO Advanced Research Workshop on a Reappraisal of the Efficiency of Financial Markets, held in Sesimbra, Portugal, April 11-15, 1988
Responsibility: edited by Rui M.C. Guimarães, Brian G. Kingsman, Stephen J. Taylor.

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