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A Reappraisal of the efficiency of financial markets

Author: Guimarães, Rui M. C. Series: NATO ASI Publisher: Springer, 1989.Language: EnglishDescription: 804 p. ; 24 cm.ISBN: 3540511075Type of document: BookBibliography/Index: Includes bibliographical references and index
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book Europe Campus
Main Collection
Print HG4551 .R43 1989
(Browse shelf)
001220783
Available 001220783
Total holds: 0

Includes bibliographical references and index

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A Reappraisal of the Efficiency of Financial Markets Table of Contents Preface.................................................................... v The NATO Advanced Research Workshop on "A reappraisal of the efficiency of financial markets".......................................... R.M.C. Guimaraes, B.G. Kingsman, S.J. Taylor 1 Section 1 SURVEY PAPERS What do we know about stock market "efficiency""......................... R. Ball 25 Stock price reversals and overreaction to new events: A survey of theory and evidence........................................... W.F.M. De Bondt Comments by A. De Ridder................................................... 85 57 Seasonal anomalies in financial markets: A survey......................... D. Ikenberry, J. Lakonishok Comments by J.F. O'Hanlon................................................. 87 113 Section 2 SIZE AND EARNINGS ANOMALIES Earnings yield and size effects: Unconditional and conditional estimates... D.B. Keim 117 A look at the validity of the CAPM in the light of equity market nomalies: The case of Belgian common stocks............................... G. Hawawini, P. Michel, A. Corhay 143 Market size, PE ratios, dividend yield and share prices: The UK evidence............................................................ M. Levis Comments by A.G.Z. Kemna................................................... 197 165 VIII Section 3 SEASONAL AND OTHER ANOMALIES Canadian calendar anomalies and the capital asset pricing model.......................................................... C.B. Cadsby Comments by D.R. Fraser................................................ 227 199 An investigation of daily seasonality in the Greek equity market.......................................................... L. Condoyanni, J.F. O'Hanlon, S.J. McLeay Comments by D.B. Keim.................................................. 259 229 Random walks and anomalies on the Copenhagen stock exchange in the 1890's.......................................................... L.P. Jennergren, B.G. Sorensen Comments by P.F. Pope.................................................. 283 261 January skewness, another enigma'...................................... P.P. Boyle, W.M. Taylor 285 Forecasting price trends at the Lisbon stock exchange................. N. Crato, J.A.A. Lopes Comments by S. Ekern................................................... 305 321 Section 4 INITIAL AND REPURCHASE STOCK OFFERS The market for initial public offerings: An analysis of the Amsterdam stock exchange (1982-7)...................................... R.E. Wessels 323 French new issues, underpricing and alternative methods of distribution........................................................ B. Husson, B. Jacquillat Going public in the F.R H. Uhlir G............................................. 369 349 D Trading rules around repurchase tender offers.......................... 395 J. Lakonishok, T. Vermaelen Section 5 EXCESS PRICE VOLATILITY Price-conditional vector autoregressions and theories of stock price determination............................................. R.J. Shiller Comments by G. Buckley................................................. 431 409 Is the UK equity market consistent with the "efficient markets" model'................................................................. 433 G. Bulkley, I. Tonks Comments by C.B. Cadsby................................................ 453 Rational expectations and perfect foresight prices.................... G.C. Uselton, D.R. Fraser 457 A re-examination of excess rational price approximations and excess volatility in the stock market............................. G.S. Shea Comments by R.J. Shiller............................................... 493 469 The Italian stock market: Efficiency, and price formation............. G. Verga 495 Section 6 GENERAL PAPERS The impact of EMH logic in practice................................... S.M. Keane Comments by H. Uhlir................................................... 519 537 The efficiency of the Chicago Board of Trade futures and futures options markets........................................................ P.J. Catania 539 X Section 7 CURRENCY MARKETS The stability of speculative profits in the foreign exchanges......... R.J. Sweeney, P. Surarjaras 547 Further evidence against the efficiency of futures markets............ S.J. Taylor, A. Tari Comments by R. Ball.................................................... 577 603 Analysts expectations and risk premia in the forward foreign exchange market: An empirical investigation............................ P.F. Pope, D.A. Peel Comments by R.J. Sweeney............................................... 631 607 Section 8 COMMODITY MARKETS Monetary and economic influences in econometric models of international commodity price behaviour................................ W.C. Labys, H.C. Thomas, D.J. Gijsbers Comments by R.J. Shiller............................................... 657 635 Market efficiency and commodity prices: Forecasting soyabean prices on the Chicago market........................................... B.G. Kingsman 659 Purchasing maize futures under a deadline: Testing and risk-yield evaluation of a price-trend buying policy.................. J.S. Cabral, R.M.C. Guimaraes Comments by S.J. Taylor................................................ A state-space approach to forecasting commodity prices................ J.A.A. Lopes 735 737 699 XI Section 9 OPTIONS MARKETS An empirical test of the option pricing model based on EOE transactions data...................................................... 745 A.G.Z. Kemna The pricing of Euromarket warrants on Japanese stocks: A preliminary study.................................................... 769 G.T. Gemmill Comments by P.P. Boyle................................................. 797 Index.................................................................. 799 Workshop participants.................................................. 803

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