Academic literature on the topic 'The efficient market hypothesis and the signaling theory'
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Journal articles on the topic "The efficient market hypothesis and the signaling theory"
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Swandari Budiarso, Novi, Abdul Wahab Hasyim, Rusman Soleman, Irfan Zam Zam, and Winston Pontoh. "Investor behavior under the Covid-19 pandemic: the case of Indonesia." Investment Management and Financial Innovations 17, no. 3 (October 1, 2020): 308–18. http://dx.doi.org/10.21511/imfi.17(3).2020.23.
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This study begins with the assumption that the existence of abnormal circumstances will force investors to take measures to protect their investments in the capital market. Recently, the stock index in the Indonesian market has been declining and continued to fall until the end of April 2020 due to the impact of the Covid-19 pandemic. In terms of efficient market theory, prospect theory and signaling theory, this study aims to analyze the relationship between risk and return in the Indonesian capital market during the Covid-19 pandemic as a manifestation of investor behavior. To test hypotheses, the correlation test, the independent sample t-test and the Cohen test for 629 public firms with 52,836 observable data are used. The findings show that for financial sectors and non-financial sectors, the fourth period differs from previous periods when the relationship between systematic risk and stock returns is positive, although only non-financial sectors have a significant effect. The results show that efficient market theory, prospect theory and signaling theory are consistent with the phenomena around the Covid-19 pandemic in Indonesia. In addition, Cohen’s test results suggest that government policies in the face of the pandemic are successful in stimulating the market.
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Yasar, Burze, Thomas Martin, and Timothy Kiessling. "An empirical test of signalling theory." Management Research Review 43, no. 11 (May 1, 2020): 1309–35. http://dx.doi.org/10.1108/mrr-08-2019-0338.
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Purpose This study aims to support and extend signalling theory because of information asymmetry. This study also aims to answer the call to further negative signalling and explore immediate reactions to signals, thus alleviating a gap with regard to temporality of signalling. Design/methodology/approach The study used two separate data sources, the S&P 500 and 51,500 pages of the public papers between 1981 and 1999, nearly 20 years of data. Inter-rater reliability, controlled for all macroeconomic announcements identified in the literature, is used, and the data are empirically tested using generalized autoregressive conditional heteroscedasticity (GJR-GARCH) modelling. Findings In accordance with signalling theory and the efficient market hypothesis, the study found that receivers do react to positive signals from a credible insider signaller to obviate information asymmetry. In line with previous research, the study also finds that receivers react much stronger to negative signals. Practical implications Investors, financial managers and top executives responsible for their stock price need to focus on presidential signalling as these directly affect market volatility. In particular, investors and financial managers can predict stock price volatility based upon signals from the president. Originality/value This is the first research study that explores the correlation between presidential signalling and market volatility. This study is important for investors and financial managers.
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John O. Messo, Raude, and John Byaruhanga. "Earnings Announcement and the Performance of Security Prices of Companies Listed on the Nairobi Securities Exchange, Kenya." International Journal of Business and Management 14, no. 9 (August 26, 2019): 188. http://dx.doi.org/10.5539/ijbm.v14n9p188.
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Security price performance is a significant economic activity which measures the company’s wealth and plays a vital role in economic growth. Security price performance reflects investor perception to earn and grow returns in the future. However, this is not the case for the NSE, Kenya N20 share index, which for the past two to three years experienced declines in security prices prompting this study to investigate the effect of Earnings Announcements on the Performance of Security Prices of companies listed on the NSE, Kenya. The study applied the Dividend Signaling Theory, the Efficient Market Hypothesis, and the Market Expectation Theory. The study used the Event Study Methodology, administered a questionnaire and schedules to collect data from 25 listed companies, and used parametric statistical techniques - the ANOVA and Regression Analysis to analyze data and test the Hypotheses. The study found Earnings Announcements were insignificant at 5 percent significant level; thus, concluded that Earnings Announcements did not affect the Performance of Securities of companies listed on the NSE, Kenya. This study will guide the market activities and provide a better understanding of how to optimize returns. It will enable the policymakers to assess and evaluate the current status and, provide a platform for making reviews, designs, and formulate policies to regulate and control trading activities on the financial markets, contribute to knowledge and strengthen the foundation for further research. Future research should investigate the effects of other events on the performance of security prices of listed companies.
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Jeong, Bong-Keun, and Ying Lu. "The Impact of Radio Frequency Identification (RFID) Investment Announcements on the Market Value of the Firm." Journal of Theoretical and Applied Electronic Commerce Research 3, no. 1 (April 1, 2008): 41–54. http://dx.doi.org/10.3390/jtaer3010006.
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This paper examines the impact of RFID investment announcements on the market value of the firms and explores industry effects of the positive abnormal returns to firms making the announcements. Drawing upon the efficient market theory, market signaling hypothesis, and prior empirical studies, we employ event study methodology to analyze RFID investment announcements over a six-year period from 2001 to 2006. In this paper, we present preliminary results that demonstrate an overall positive abnormal return to RFID investment announcements over the three-day event window. In addition, industry differences in market returns to RFID investment announcements are observed with a greater return realized in the manufacturing sector and specifically in the information technology industry segment and for technology vendors’ investment initiatives. These preliminary findings provide useful implications for a better understanding of the benefits of RFID adoption and for making decisions in RFID investment and adoption to create value for the firms.
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Kustono, Alwan Sri. "Motive behind Earnings Management Practices: Case in Public Property and Real Estate Companies in Indonesia." AKRUAL: Jurnal Akuntansi 12, no. 1 (October 24, 2020): 49. http://dx.doi.org/10.26740/jaj.v12n1.p49-64.
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This study examines the antecedents and consequence variables of earnings management. This study is expected to explain the motive of earnings management practices by public property and real estate companies in Indonesia: opportunistic or efficient. The theory which is the basis for developing the hypotheses ise agency, positive accounting, and signaling theories simultaneously. This study is explanatory research which aims to explain the causal relationship between variables through hypothesis testing. Data of this research are financial statements of public companies in the property and real estate sector in Indonesia (2014-2018) with some criteria. There are 60 firm-years data used in the analysis. Hypothesis testing uses multiple linear regression two-stage. The first stage analysis is used to examine the effect of the antecedent earnings management variable. Regression second stage test the consequences of earnings management practices. The results show debt and independent commissioners affect earnings management. Management performs more dominant earnings management because of opportunistic interests than to maintain market value and the interests of its shareholders. The implication of this research is to provide a comprehensive discourse on the motives for earnings management behavior in Indonesia.
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James, Kevin R., and Marcela Valenzuela. "The Efficient IPO Market Hypothesis: Theory and Evidence." Journal of Financial and Quantitative Analysis 55, no. 7 (January 23, 2020): 2304–33. http://dx.doi.org/10.1017/s0022109019000784.
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We derive the optimal underwriting method and the quantitative initial public offering (IPO) pricing rule that this method implies in a market with informational frictions consisting of fully rational banks, issuers, and investors. In an efficient IPO market, an issuer’s expected initial return will be determined entirely by the combination of this pricing rule and issuer fundamentals. Applying this rule, we find that we can explain the quantitative magnitude of the principal aspects of the time-series and cross-sectional variation in IPO average initial returns. We conclude that the IPO market is efficient.
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GULKO, LES. "THE ENTROPIC MARKET HYPOTHESIS." International Journal of Theoretical and Applied Finance 02, no. 03 (July 1999): 293–329. http://dx.doi.org/10.1142/s0219024999000170.
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Information theory teaches that entropy is the fundamental limit for data compression, and electrical engineers routinely use entropy as a criterion for efficient storage and transmission of information. Since modern financial theory teaches that competitive market prices store and transmit information with some efficiency, should financial economists be concerned with entropy? This paper presents a market model in which entropy emerges endogenously as a condition for the operational efficiency of price discovery while entropy maximization emerges as a condition for the informational efficiency of market prices. The maximum-entropy formalism makes the efficient market hypothesis operational and testable. This formalism is used to establish that entropic markets admit no arbitrage and support both the Ross arbitrage pricing theory and the Black–Scholes stock option pricing model.
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Das, Amaresh. "Martingales, Efficient Market Hypothesis and Kolmogorov’s Complexity Theory." Information Management and Business Review 2, no. 6 (June 15, 2011): 252–58. http://dx.doi.org/10.22610/imbr.v2i6.905.
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Efficient market theory states that financial markets can process information instantly. Empirical observations have challenged the stricter form of the efficient market hypothesis (EMH). These empirical observations and theoretical considerations show that price changes are difficult to predict if one starts from the time series of price changes. This paper provides an explanation in terms of algorithmic complexity theory of Kolmogorov that makes a clearer connection between the efficient market hypothesis and the unpredictable character of stock returns.
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Pradana, Bayu Laksma. "ADAPTIVE MARKET? A NEW HYPOTHESIS?" Jurnal Bina Akuntansi 5, no. 1 (January 31, 2018): 150–63. http://dx.doi.org/10.52859/jba.v5i1.38.
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The efficient market hypothesis (EMH) has been challenged by behaviourists for decades. Is market predictable? and how rational human beings prone to make flaws in making decisions are two general questions that still debatable until nowadays. A long argument between Rationalists and Behaviorists. A new theory emerged to find a way out and became the “middle way”. It gave justifications that those previous theories have both their own strengths and also weakneses. Combining biology, neuro science, and evolution, The MIT Professor seemed to believe that finance and market today are more like evolutionary biology than physic. From time to time market adapts with environment, change in circumstances lead to change in behavior and methodology; this is what Andrew Lo called Adaptive Market. This literature study briefly explains the very start evidence about Efficient Market Hypothesis and how behaviour finance becomes the opponent of EMH. How adaptive market expands the horizon of interdiciplinary studies also will be presented in thorough manner. In conclusion, the new theory gives many proves that market is adaptive. However in contrast with behavior finance, adaptive market has more comprehensive reasons explaining the financial and economic environment that has been changed recently.
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Cohen, Lloyd R. "Why Tender Offers? The Efficient Market Hypothesis, the Supply of Stock, and Signaling." Journal of Legal Studies 19, no. 1 (January 1990): 113–43. http://dx.doi.org/10.1086/467844.
Full textDissertations / Theses on the topic "The efficient market hypothesis and the signaling theory"
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Leth, Anton, and Jakob Vikström. "INVESTMENT ADVICE FROM INSIDERS : The impact of Insider Trading on Long-Term IPO Stock Performance in Sweden." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172642.
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This thesis analyzes and evaluates the relationship between insider trading and the long-term stock performance of Initial Public Offerings (IPO) in Sweden. The study looks at firms that recently conducted an IPO and how the stock performance of the firm is impacted by insiders making transactions in their own stock. An IPO is known to generate high returns on its first day on the public stock market, but to underperform the market in the long term. The characteristics of an IPO are deviant from the rest of the stock market, and with less information available to the public compared to other firms, the IPO market is hard to navigate for investors. Transactions made by insiders in the share of their own company is usually seen as guidance in public companies. An insider purchase is usually followed by a positive stock return, and insiders selling shares have the opposite impact. The aim of this thesis is to investigate if the information provided by insider transactions can be used to create a potential trading strategy for IPOs. Through statistical analysis, a negative relationship is found between the insider trading and IPO long-term stock performance, indicating that insider buying shares are connected to lesser stock performance. This contradicts previous research regarding insider trading in seasoned firms and opens up for discussion. By implementing a theoretical framework, a deeper analysis of the proposed relationship is be made. This study concludes that the negative relationship between insider trading and long-term IPO stock performance is not directly caused by insider trading itself. Instead, it is a result of insiders making poor investment decisions due to outside pressure and behavioral factors.
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Hasani, Hyrije. "Påverkar det ekonomiska läget noteringarnas aktiekursutveckling? : En kvantitativ studie av noterade bolag på NASDAQ OMX Stockholm 2000-2010." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-5820.
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Inledning: Inom finansmarknaden där en handelsplats för värdepapper finns är IPO ett omtalat ämne. Fascinationen ligger vid introduktionen av ett företag på börsen som tidigare varit privatägd och dess avkastning på aktien. Vidare är prissättningen på aktierna och timingen för en notering intressanta aspekter som har studerats sedan många år tillbaka. I denna uppsats ska det undersökas hur aktiepriserna för de noterade bolag har utvecklats vid olika ekonomiska tillväxter. Syfte: Syftet är att undersöka om det ekonomiska läget påverkar aktiekursernas utfall vid en notering samt hur dessa utvecklas på noteringsdagen och 30 dagar efter noteringen. Metod: Genom beräkningar av introduktionspriserna i jämförelse med stängningskurserna på noteringsdagen och 30 dagar efter noteringen får man fram aktiekursernas utveckling. Teoretisk referensram: Den effektiva marknadshypotesen och signalteorin Resultat: Undersökningens resultat visade på att skillnaden i aktiernas avkastning mellan företag som noterat sig under en hög respektive låg ekonomisk tillväxt var mycket liten. Företagen som hade noterat sig under en hög ekonomisk tillväxt hade endast 0,1 % högre avkastning än de företag som noterade sig under en låg ekonomisk tillväxt. Detta tyder på att det ekonomiska läget inte påverkar noteringar avsevärt.Introduction: Within the financial market where there is a trading place for securities, IPO is a well discussed topic. The fascination lies on the introduction of a company on the stock market that was earlier privately-owned and its return on the share. Furthermore the pricing of the shares and the timing for listings are interesting aspects that have been studied many years back. Hence, this essay will examine how the share prices for the listing companies have developed through different economic growth. Purpose: The purpose is to examine if the economic situation affects the share prices outcome during a listing and moreover, to see how they have developed on the listing day and 30 days after the listing. Method: By comparing the calculations of the introduction prices to the closing prices on the listing day and 30 days after the listing, this essay will examine the share prices development that occurs. Theoretical framework: The efficient market hypothesis and the signaling theory. Results: The results of the examination showed that the difference between companies is very small, regardless of the economic growth at the time they got listed. Companies that got listed during a higher economic growth had only a 0.1 % higher return than companies that got listed during a lower economic growth, which suggests that the economic situation does not affect the listings significantly.
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Sapthawisukphon, Alexis, and Haidar Darab. "Insynshandel – där abnorm avkastning är abrupt! : En studie om den lagliga insynshandeln på företagen listade på First North." Thesis, Södertörns högskola, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-34357.
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Purpose: The purpose of the study is to investigate whether executives can earn abnormal return by purchasing their own stocks and establish an understanding of possible aspects. Method: In order to observe if abnormal return exists on insider buy-transactions, a method triangulation with deductive approach has been made. An event study has been adopted to measure the transaction events. In addition, CAAR has been calculated with aid of a model. These values go through a significance test in order to support the hypothesis. Theory: The study is grounded on the efficient market hypothesis, information asymmetry, behavioural finance and signalling. Furthermore, previous research has been adopted to support the study. Conclusion: The results of the study show that executives for growth companies can profit from abnormal returns.Syfte: Syftet med studien är att studera om personer i ledande ställning profiterar vid insynsförvärv av aktier samt skapa en djupare förståelse kring möjliga underliggande faktorer. Metod: För att studera om det uppstår abnorm avkastning vid insynsförvärv har en metodtriangulering med deduktiv ansats behandlats. Eventstudie har använts för att mäta transaktions händelserna. Vidare beräknas CAAR med hjälp av en modell. Dessa kommer sedan att signifikanstestas för att stödja hypoteserna. Teori: Teorier som behandlas i denna studie är den effektiva marknadshypotesen, informationsasymmetrin, beteendebaserad finansiering och signaleringshypotesen. Vidare behandlas tidigare forskningar som ger stöd till studien. Slutsats: Resultaten för studien påvisar att personer i ledande ställning för tillväxtföretag kan profitera på abnorm avkastning.
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Alexakis, Christos. "An empirical investigation of the efficient market hypothesis : the case of the Athens stock market." Thesis, University of York, 1992. http://etheses.whiterose.ac.uk/2488/.
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Monte, Brent M. "Chaos and the stock market." CSUSB ScholarWorks, 1994. https://scholarworks.lib.csusb.edu/etd-project/860.
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Ljungberg, Axel, and Anton Högstedt. "Modern Portfolio Theory Combined With Magic Formula : A study on how Modern Portfolio Theory can improve an established investment strategy." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104540.
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This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. Through the process of creating efficient frontiers and weighting the portfolios differently we create two alternative portfolios each year. One portfolio that aimsfor maximum Sharpe ratio and one that aims for minimum variance. These weighted portfolios produce higher risk-adjusted returns consistently during the examined period of 2010-2020. We conclude that the Magic Formula can be improved by using modern portfolio theory.
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Renberg, Sandra, and Cecilia Nylander. "The Relationship between Changes in Cash Dividends and Volatility of Stock Returns : A study of the Swedish Stock Market." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-76434.
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The dividend policy and the distribution of cash dividend can be of interest to the investors from many angles. Consequently, many theories have been built on the relevance of dividend policy and there are several theories proposing that dividends increase shareholder value. However, the most famous theory on dividend policy might be Miller and Modigliani's dividend irrelevance theory which implies that the dividend policy does not affect shareholder value. Although investors are concerned with shareholder value they are also concerned with achieving the highest possible return with the lowest volatility (risk). As many studies have focused on the dividend policy, especially dividend yield or the dividend payout ratio, and its relation with stock price movement we felt that there was a lack of information regarding the relation between return volatility and cash dividends. This resulted in the following research question: Does a change in cash dividend affect stock return volatility on NASDAQ OMX Stockholm? Answering this research question is the main purpose of the research. Additionally, the relationship between changes in cash dividend and return volatility will be compared in the different size segments that are to be found on NASDAQ OMX Stockholm. The study is quantitative with a deductive approach where historical data ranging from 2006-2012 has been gathered. Two measures of return volatility has been used, beta and standard deviation of return. Statistical tests have been conducted in an approach to answer the research question, mainly correlation tests and logistic regression analysis. No correlation between changes in cash dividend and changes in beta, nor changes in standard deviation were found. The same results were found when examining small, mid and large cap individually. In the logistic regression analysis no evidence was found that changes in dividend could explain changes in return volatility. Contrary to changes in dividend, the results indicate that the size of the company can explain changes in return volatility. Specifically, large cap companies explain increases in return volatility better than companies in the small cap segment. Therefore, the research question is concluded with no, a change in cash dividend does not affect stock return volatility. The findings could also be argued to be in support of the dividend irrelevance theory. Furthermore, the conclusion implies that investors need not regard the dividend policy when diversifying their portfolios. Additionally, managers need not be worried that a change in dividend policy should affect return volatility.
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Gleisner, Mattias, and Karoline Edström. "Bitcoin som diversifiering : En kvantitativ studie som undersöker korrelationen mellan bitcoin och finansiella tillgångar." Thesis, Umeå universitet, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-137433.
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Pengar har under en lång tid spelat en central roll i människans samhälle och dagens samhälle präglas av allt mer handel. Utifrån detta har nya betalningsmetoder utvecklats. En förändring i konsumentbeteendet har bidragit till att allt fler individer väljer elektroniska betalningstjänster. En relativt ny innovation är kryptovalutan bitcoin som erbjuder betalning mellan köpare och säljare utan inblandning av en tredje part. Ett flertal studier har gjorts med syftet att fastställa om bitcoin är en valuta eller en tillgång, något som visat sig vara svårt. Något som varit tydligare är att bitcoins värdeförändringar inte tycks vara korrelerad med andra investeringsalternativ. I en studie av Brière et al. (2015) drogs slutsatsen att bitcoin är en intressant tillgång för en investerare tack vare bitcoins låga korrelationskoefficient med andra tillgångar. Denna studie grundar sig i de teoretiska utgångspunkterna om Famas (1970) hypotes om den effektiva marknaden, Markowitz (1952) moderna portföljteori och Rogers (2003) teori om spridning av innovationer. Med detta som utgångspunkt är syftet med denna studie att undersöka hur korrelationskoefficienten mellan bitcoin och traditionella investeringstillgångar som aktier, valutor och råvaror ser ut idag samt hur dessa har förändrats över tid. Med hjälp av Famas (1970) teori om effektiva marknader och Rogers (2003) teori om spridning av innovationer kommer en diskussion om huruvida bitcoins egenskaper som investering i den moderna portföljen har förändrats i takt med att bitcoin blivit mer använd, både som betalningsmedel och investeringsalternativ. För att besvara dessa frågor undersöks korrelationskoefficienterna mellan bitcoin och elva andra tillgångar i kombination med en analys av en deskriptiv statistik. Med en undersökningsperiod som sträcker sig från 18 augusti 2011 till 17 mars 2017. Denna period har även delats upp i mindre tidsperioder för att utifrån detta analysera om det skett några förändringar i korrelationen mellan bitcoin och de traditionella tillgångarna i studien. Resultatet visade att bitcoin inte är korrelerad med andra traditionella tillgångar, oavsett vilken tidsperiod som undersöks. Det visade sig att bitcoin i förhållande till andra tillgångar är en riskfylld investering på grund av bland annat en hög volatilitet. Dock kompenseras detta av bitcoins höga årlig avkastning. Av resultatet framgår det även att volatiliteten för bitcoin har minskat med tiden och att kryptovalutan inte är lika riskfylld idag jämfört med tidigare.
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Karlsson, Viktor, and Emil Nygren. "Beating the Swedish Market : A dynamic approach to Value Investing using Modern Portfolio Theory." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-16465.
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Previous research has confirmed the existence of a value premium in a wide array of markets and using this value stock anomaly has yielded superior performance. This thesis investigates if one could take advantage of the existence of a value premium to deploy a dynamic investment strategy on the Swedish stock market (OMXS30) with focus on minimizing risk to achieve higher risk adjusted performance than the stock market index. The investment strategy implemented use Market-to-Book-Value to screen for both entry and exit signals and Modern Portfolio Theory, using the minimum-variance portfolio with short-selling constraints, to allocate assets within the portfolio. The investment strategy is evaluated using the Modigliani-Modigliani Risk Adjusted Performance measure. Conclusions from the thesis are that the strategy does outperform the Swedish stock market index, both in terms of nominal return and risk-adjusted performance. The suboptimal behaviour of investors where they overreact to signals and unconsciously rely on heuristics is used to explain why this is possible. Market-to-Book-Value, using the first quartile as entry signal and third quartile as exit signal, is considered to be a successful key ratio to screen for value stocks.
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Saric, Olle, and Pontus Lyngsten. "Investigating Real Earnings Management in the Relationship between Stock Returns and Top Management Stock Ownership." Thesis, Umeå universitet, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-184320.
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In this thesis the relationship between company performance and top management stock ownership in the Swedish market was examined. As well as conducting research on the influence real earnings management has on company performance, and how real earnings management relates to the top management stock ownership. The study was based on a quantitative approach with secondary data that was retrieved from Eikon Refinitiv database, where the data stretched back from 2018-2020. This research found no clear relationship between the main concepts under investigation, that is stock ownership of top management and stock returns. The authors explain this by the sampling method in this research only include companies with share holdings. Furthermore, compared to other studies looking this research considers multiple market capitalizations who may operate differently. Finally, there is a suspicion in the field of research that the relationship between the two is not of a linear nature as such a linear methodology will not find any clear results. In conclusion, this research could be added to the list that does not find a relationship between the above stated variables to the literature which could further be applied to the Swedish market. In terms of real earnings management, a strong negative influence was found on share returns. The authors suggest that this finding can be used as a basis to form investment strategies through monitoring the occurrence of REM to predict when insiders are going to buy and sell. Through pursuing this strategy, it may be possible to create superior return as this study found support for the semi-strong form of market efficiency. Unfortunately, this study found no clear guidance of resolving agency issues. Rather it was concluded that shareholdings in the top management does not resolve agency problems given the occurrence of REM. The management most likely benefit from this through trading the company stock. However, further investigation on the topic should be conducted as it seems that alignment using holdings become more or less effective at certain levels of management share ownership. Furthermore, the notion that American ways of agency alignment may not be appropriate in the Swedish market was considered but no clear conclusion could be made in this research.
Books on the topic "The efficient market hypothesis and the signaling theory"
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Kondak, Nuray Ergül. The efficient market hypothesis revisited: Some evidence from the Istanbul stock exchange. Ankara: Capital Markets Board of Turkey, 1997.
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Fenton, Niall. Efficient markets hypothesis: A test for size and P/E effects in the Irish stockmarket. Dublin: University College Dublin, 1997.
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Plastun, Alex. Behavioral Finance Market Hypotheses. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190269999.003.0024.
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Although the efficient market hypothesis (EMH) is the leading theory describing the behavior of financial markets, researchers have increasingly questioned its efficacy since the 1980s because of its inconsistencies with empirical evidence. This challenge to EMH has resulted in the development of new concepts and theories. These new concepts reject the assumption of investor rationality. The most promising and convincing among these are the adaptive markets hypothesis, overreaction hypothesis, underreaction hypothesis, noisy market hypothesis, functional fixation hypothesis, and fractal market hypothesis. The chapter provides a brief description of these theories and proposes using a behavioral perspective to analyze financial markets.
Book chapters on the topic "The efficient market hypothesis and the signaling theory"
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Marwala, Tshilidzi, and Evan Hurwitz. "Efficient Market Hypothesis." In Artificial Intelligence and Economic Theory: Skynet in the Market, 101–10. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-66104-9_9.
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Hensoldt, Agnieszka. "Pragmatic theory of information and the efficient market hypothesis." In Philosophy in the Time of Economic Crisis, 125–40. Abingdon, Oxon; New York, NY : Routledge, 2017.: Routledge, 2017. http://dx.doi.org/10.4324/9781315168869-9.
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Altin, Hakan. "Efficient Market Hypothesis for Islamic Capital Markets." In Handbook of Research on Theory and Practice of Global Islamic Finance, 489–523. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-0218-1.ch027.
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This study has two important findings firstly, the theoretical results related to the efficient market hypothesis; and secondly, the results of application. The theoretical results show that if the market price of an asset includes all the information that influences its price, then that market is an efficient market. According to the efficient market hypothesis, investors cannot earn gains above the market return. Since stock share prices are unpredictable, it is assumed that when the information that the market had already been expecting is finally announced, the stock share prices will not change. That is because this announcement does not contain any information that can change the prices. The results obtained from the application show that the existence of abnormal return is valid for Islamic Stock Markets. Therefore, the findings mediate against the efficient market hypothesis. However, when the size of abnormal returns is observed, the results are almost equal to market returns. This finding supports the efficient market hypothesis. Islamic stock markets are integrated with the world at least as much as the non-Islamic global markets are. Islamic stock markets act together with the non-Islamic global markets. The risks and returns that the Islamic and non-Islamic stock markets provide to the investors are very close to each other. In conclusion, the efficient market hypothesis maintains its explanatory power for both Islamic stock markets and non-Islamic global stock markets. Islamic markets offer new investment opportunities on a global scale.
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"From the Efficient Market Hypothesis to Prospect Theory." In An Introduction to Algorithmic Trading, 133–38. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119206033.ch30.
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"Portfolio Theory is Inconsistent with the Efficient Market Hypothesis." In Treynor on Institutional Investing, 60. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119196679.ch7.
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Rangvid, Jesper. "Predicting returns: Theory." In From Main Street to Wall Street, 243–50. Oxford University Press, 2021. http://dx.doi.org/10.1093/oso/9780198866404.003.0016.
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This chapter provides a brief description of the history of academic thinking on the subject of return predictability. The chapter starts by describing the initial formulations of the efficient market hypothesis in the 1970s, with its view that returns are unpredictable, moving on to Shiller (1981), who demonstrated that stock prices are far too volatile to be solely determined by future dividends discounted by a constant discount rate. The hypothesis that the discount rate is not constant but time-varying emerged. Finally, the chapter describes the current view on return predictability. It concludes that, today, it is well-accepted that returns contain a predictable component. This does not mean that we can easily say how stocks will develop in the future, but it does not mean either that we cannot say anything at all. Theory has also been developed that reconciles return predictability with efficient capital markets.
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Okur, Mustafa, and A. Osman Gurbuz. "A Competitive Approach to Financial Issues." In Global Strategies in Banking and Finance, 173–86. IGI Global, 2014. http://dx.doi.org/10.4018/978-1-4666-4635-3.ch011.
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Efficient Market Hypothesis (EMH) is a cornerstone in modern finance theory. Efficient market hypothesis states that it is impossible to make abnormal returns in financial markets because financial asset prices always reflect all available information. This chapter was undertaken in order to give a brief survey of modern finance theory by mainly focusing on the efficient market hypothesis. The authors also discuss the empirical foundations of the efficient market hypothesis. Finally, the main challenges to the efficient market hypothesis are introduced in order to point out a perspective for future research.
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Okur, Mustafa, and A. Osman Gurbuz. "Behavioral Finance in Theory and Practice." In Global Strategies in Banking and Finance, 254–71. IGI Global, 2014. http://dx.doi.org/10.4018/978-1-4666-4635-3.ch017.
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Behavioral finance is a new approach in finance literature. The main idea is that investors are not as rational as they are assumed to be. Therefore, financial markets could be better understood by using models that capture the effects of both rational and irrational investors. The critics of behavioral finance could be grouped into two main categories: limits of arbitrage and psychological factors. This chapter concentrates on both challenges and possible contributions of behavioral finance theory to the modern finance theory, which is mainly based on rational expectations theory and efficient market hypothesis.
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Palacios-Huerta, Ignacio. "Scoring at Halftime." In Beautiful Game Theory. Princeton University Press, 2014. http://dx.doi.org/10.23943/princeton/9780691144023.003.0007.
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This chapter is concerned with the idea of scoring at halftime but with a more scientific perspective. It suggests that what happens at halftime in some soccer games scores big in terms of allowing us to test an influential theory in economics: the efficient-markets hypothesis. The theory posits that the stock market processes information so completely and quickly that any relevant news would be incorporated fully into the stock's price before anyone had the chance to act on it. Simply put, unless one knew information that others did not know, no stock should be a better buy than any other. If the theory is correct—that is, if observed changes in stock prices are unpredictable—there is not much we can do to gain an advantage over other traders, except perhaps to try to identify the news that causes stock prices to rise and fall and to understand the size of any likely price jump.
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O’Daniel, Thomas, and Teoh Say Yen. "The Game of Internet B2B." In Managing IT in Government, Business & Communities, 175–94. IGI Global, 2003. http://dx.doi.org/10.4018/978-1-93177-740-7.ch013.
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Game theory accepts the expected utility hypothesis and reduces roles to the “informed” and the “uninformed” player in order to facilitate the process of constructing mathematical models. When quality is known to the seller, but not to the buyer, private markets can be modeled as a screening game, and public exchanges as a signaling game. In a private market, the buyer moves first by revealing acceptable quality. In a public exchange, the seller moves first by publicizing product information. Adoption of the technology will ultimately depend on perception of the game and payoffs relative to risks. Price competition is a significant negative externality, and opportunistic representations a real danger. When search costs are low, scope for differentiation limited, and information about quality is incomplete or imperfect, the conditions for a lemon’s market are fulfilled. A focus on commodities, global reach, and building a positive brand image for Internet business-to-business (B2B) in general should prove effective.