Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.S. housing market. In addition to conducting parametric and non...

The duo of Fama and French is most famous for their 1992 and 1993 papers documenting strong historical value and size effects. (Fama is also famous – or infamous, depending on your perspective – for his association with the efficient market hypothesis.) The core observation of Fama and French’s seminal papers was that the returns on small-company and value stocks – those with high book-to-marke...

In this paper we introduce a new methodology to test market efficiency and to assess the performance of the most widely accepted asset pricing models. We use this methodology to test the semi-strong form of market efficiency in the context of publicly available accounting information. Instead of testing for a single accounting-based firm characteristic that can generate abnormal excess returns ...

Traditional entropy based algorithms used in the analysis of time series data quantify the regularity of the time series. But there is no straight forward correspondence between regularity and complexity. Neither completely predictable (e.g. periodic) signal, which have minimum entropy, nor completely unpredictable (e.g. uncorrelated random) signals which have maximum entropy, are truly complex...

The purpose of this paper is to disclose how the Gaussian form of the concept of market efficiency is at the origin of the contemporary professional debate on passive index-linked management which continues on despite the growing popularity of indexing among investment management practitionners in Europe. This particular Gaussian form entered the investment management industry in the 1970’s and...

Mises created an artificial construct, the evenly rotating economy (ERE), from which to ascertain the source of entrepreneurial profit and loss. In particular, the ERE is characterized by two distinct elements. First is the elimination of the temporal element, second is the removal of changing market data. The second point necessarily arises from the first. Is it possible that the efficient mar...

in this paper, a model based on gmdh type neural network, is used to predict gas price in the spot market while using oil spot market price, gas spot market price, gas future market price, oil future market price and average temperature of the weather. the results suggest that gmdh neural network model, according to the root mean squared error (rmse) and direction statistics (dstat) statistics ...

This paper analyzes the role of private information in parimutuel (also known as pool betting) markets, a method commonly adopted to determine betting odds for horse races and other sporting events. According to the parimutuel system, the amount wagered on all outcomes is redistributed to the bets placed on the winning outcome. Given the frequent observation of the realized outcomes (which are ...

The efficiency of securities market has generated a lot controversy over four decades in finance and economic discussions leading to some people accepting or rejecting the efficient hypothesis. Hence this paper examines growing body empirical research on hypothesis Nigerian capital for past twelve years (2010-2021). particularly surveys specialized literature as it relates market. is purely tha...