The departures from market efficiency are used to provide evidence of overreaction and underreaction in two main stock indexes. Specifically, using the notion of alfa-efficiency, we document the presence of stochastic dominance in the conditional distributions of mean log-price variations.
Stochastic dominance in the outer distributions of the alfa-efficiency domain / Bianchi, Sergio; Pianese, Augusto; Frezza, Massimiliano; Palazzo, Anna Maria. - (2020), pp. 95-101.
Stochastic dominance in the outer distributions of the alfa-efficiency domain
Bianchi, Sergio
;Frezza, Massimiliano;
2020
Abstract
The departures from market efficiency are used to provide evidence of overreaction and underreaction in two main stock indexes. Specifically, using the notion of alfa-efficiency, we document the presence of stochastic dominance in the conditional distributions of mean log-price variations.File allegati a questo prodotto
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