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.

Efficiency, Overreaction and Underreaction in Stock Markets.A Parsimonious Model of the Three Sided-Coin / Bianchi, S.; Pantanella, A.. - (2011), pp. 617-622.

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

Bianchi S.;
2011

Abstract

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.
9781424495450
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11573/1369408
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