SINCE KEYNES' (1936) NOW FAMOUS PRONOUNCEMENT that most investors' decisions "can only be taken as a result of animal spirits-of a spontaneous urge to action rather than inaction, and not as the outcome of a weighted average of benefits multiplied by quantitative probabilities," a great deal of research has been devoted to examining the efficiency of stock market price formation . In Fama's (19...

RESUMO: o presente trabalho examina a hipótese de eficiência de mercado estimando um modelo de series temporais com coeficientes que variam no tempo. A metodologia utilizada foi a do Filtro de Kalman para um modelo autoregressivo e de média móvel (ARMA) com erros modelados com heteroscedasticidade condicional autoregressiva generalizada (GARCH). O modelo foi estimado pelo método da máxima veros...

In this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by Rahnamaye Roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with Sharpe and Treynor performance measures and tested by an Active portfolio management approach to identify the portfolios by perform...

in highly competitive market of food industry maintaining and increasing market share are results of brand performance. hence detecting the effective factors on the brand performance is crucial in strategic marketing decisions. data gathered by a 36-items questionnaire. the sample was composed of 131 managers and marketing experts in 62 companies in food industry those are located in tehran cit...

The stock market is forward looking; economic indicators and important future events are factored into stock prices. According to the Efficient Market Hypothesis†, markets operate efficiently and stock prices instantly and stock prices instantly reflect all information available. However, inefficiencies in the stock market exist due to the behaviors and expectations of investors. Stock prices m...

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Efficient financial markets with high degree of transparency do not substantiate the hypothesis that there are differences in the volatility of return. Generally, there are factors rejecting any perfect similarity in the volatility of return in the emerging stock markets, as previous studies in Iran have confirmed the complete difference. On the other hand, the hybrid model PANEL-GARCH has the ...