The notion of informational efficiency for financial markets represents one of the cornerstones on which the whole asset pricing theory rests. It requires that the price St of an individual asset is expected to discount all information Ft accumulated up to time t, as a consequence of the quick and wide spread of news, which should ensure that eventual departures from equilibrium values cannot last for long. Originated by the more general notion of equilibrium, efficiency is generally introduced and tested in terms of the expected value of properly discounted payoffs[1]...
Assessing market (in)efficiency / Pianese, Augusto; Pantanella, Alexandre; Palazzo Anna, Maria; Bianchi, Sergio. - (2016), pp. 33-34. (Intervento presentato al convegno Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF 2016 tenutosi a Paris).
Assessing market (in)efficiency
Bianchi Sergio
2016
Abstract
The notion of informational efficiency for financial markets represents one of the cornerstones on which the whole asset pricing theory rests. It requires that the price St of an individual asset is expected to discount all information Ft accumulated up to time t, as a consequence of the quick and wide spread of news, which should ensure that eventual departures from equilibrium values cannot last for long. Originated by the more general notion of equilibrium, efficiency is generally introduced and tested in terms of the expected value of properly discounted payoffs[1]...I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
