Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"Informational efficiency"”.
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Insider trading: Regulation, securities markets and welfare
Although liquidity and informational efficiency, among others, are important characteristics of a securities market, they are not, or should not be, ends in themselves. From a normative point of view, the ultimate goal is to maximize the welfare of society. Therefore, the critical question about …
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Mispricing and the Demand for Fundamental Information
… role of accounting information in enhancing the informational efficiency of securities markets following temporary mispricing.
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Information efficiency of the Lusaka atock exchange and money supply in Zambia
The purpose of this study is to determine the “informational efficiency of LuSE with respect to monetary policy and money supply. Capital market is said to be informationally efficient if the stock prices at any time “fully reflect” all available information regarding fundamental economic variables …
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Information efficiency of the Lusaka atock exchange and money supply in Zambia
The purpose of this study is to determine the “informational efficiency of LuSE with respect to monetary policy and money supply. Capital market is said to be informationally efficient if the stock prices at any time “fully reflect” all available information regarding fundamental economic variables …
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African stock markets: empirics of development, integration, efficiency and investor herd behaviour
… their integration with the world and their efficiency. Regrettably, unlike the developed and emerging stock markets elsewhere in the world, Africa’s stocks markets have suffered a history of global and investor neglect and have accordingly attracted very little research. This study …
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Statistical analysis of illiquidity risk and premium in financial price signals
… of information by introducing the concept of informational efficiency. The main body consists of two parts. Part A consists of Chapters 3, 4 and 5. We first link unpredictability of financial returns, a direct consequence of the informational efficiency, to the expected covariance structure of …
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The effect of security return dispersion on performance measurement in a South African context
… primarily due to higher CSV, and not changes in informational efficiency or ranges in managerial talent. In this dissertation we firstly critique the CSV-adjusted alpha as a measure of fund performance and show that it can only be used as a means of normalising fund performance, yet reveals very …
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Evolutionary Models Of Market Behavior
… sufficiently large.;The second paper shows that informational efficiency can be achieved in the long run when all speculators are irrational noise traders. Speculators are assumed to be unsophisticated and merely act upon their predetermined trading types (buyer, seller, or both), their …
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Communication, confidence and asset pricing.
… liquidity, trading volume, price volatility and informational efficiency of prices are all higher in communication economy relative to those in economy where agents exploit private signals exclusively; Market trading patterns are strictly decreasing in agents' confidence in private signals. …
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Performance determinants of foreign currency bonds issued by JSE-listed companies? An indexation approach
… these conclusions by investigating the relative informational efficiency between the corporate bond and equity markets. This is done by using a VAR model to analyse the lead-lag relationship between bonds and equity issued by the same firms. The results are largely consistent with previous …
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The efficiency of the oil futures markets: information, price discovery and long memory
This thesis investigates the efficiency of the crude oil futures markets by addressing four important issues using different theoretical and methodological perspectives. Data of different frequencies was employed in the analysis covering the period 2000 to 2011. First, the short and long term …
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Essays in Empirical Asset Pricing
… missing Compustat data is associated with lower informational efficiency of equity prices. I conclude that data vendors' actions can exert a material influence on capital markets because they affect firms' access to institutional capital.
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Three essays on financial markets
… noise level can be implemented, then strong form informational efficiency is not achievable in days with information events, and the size of potential bias depends on both the probability and magnitude of information events. The theoretical section also includes simulation results which support …
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Essays on Financial Economics
… to potential criticisms. Measuring market efficiency is a treacherous endeavor, being the “bad model problem” the chief challenge. As noted in Fama (1970), market efficiency can only be tested jointly with an equilibrium asset-pricing model characterizing normal returns. Therefore, the …
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Three essays on informed trading
… the hypothesis that hedge fund managers gain an informational advantage in securities trading through their connections with lobbyists. Using data sets on the long-equity holdings and lobbyist connections of hedge funds from 1999 through 2012, we show that hedge funds outperform passive …
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Market Efficiency of African Stock Markets
… stock markets has raised questions about their efficiency. This thesis examined the weak-form informational efficiency of African stock markets. The aim therefore of this thesis is to test the efficiency of African stock markets in the weak-form of the Efficient Market Hypothesis (EMH) for eight …