Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/39035
Autoren: 
Pesaran, Mohammad Hashem
Datum: 
2010
Reihe/Nr.: 
CESifo Working Paper 3116
Zusammenfassung: 
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical foundation of the EMH, and show that market efficiency could co-exit with heterogeneous beliefs and individual irrationality so long as individual errors are cross sectionally weakly dependent in the sense defined by Chudik, Pesaran, and Tosetti (2010). But at times of market euphoria or gloom these individual errors are likely to become cross sectionally strongly dependent and the collective outcome could display significant departures from market efficiency. Market efficiency could be the norm, but it is likely to be punctuated with episodes of bubbles and crashes. The paper also considers if market inefficiencies (assuming that they exist) can be exploited for profit.
Schlagwörter: 
market efficiency
predictability
heterogeneity of expectations
forecast averaging
equity
premium puzzle
JEL: 
G12
G14
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
398.88 kB





Publikationen in EconStor sind urheberrechtlich geschützt.