Relevant bibliographies by topics / Efficient market theory

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
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Academic literature on the topic 'Efficient market theory'

Author: Grafiati
Published: 4 June 2021
Last updated: 30 July 2024

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Journal articles on the topic "Efficient market theory"

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Jahnke, William W. "Requiem for Efficient Market Theory." Journal of Investing 3, no. 2 (May 31, 1994): 5–9. http://dx.doi.org/10.3905/joi.3.2.5.

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Zhu, Ziyan. "The Impact of Investor Expectation on the Financial Decision-Making." Highlights in Business, Economics and Management 34 (June 10, 2024): 102–7. http://dx.doi.org/10.54097/nf8m2446.

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This paper delves into a fundamental analysis of two significant standards in budgetary financial matters: efficient market hypothesis and behavioral finance. The efficient market hypothesis posits that financial markets efficiently process all available information, leading market participants to make rational decisions. This theory underscores the accuracy of market predictions and the efficiency of information processing. In contrast, behavioral finance challenges the efficient markets theory by revealing various cognitive biases and irrational behaviors that influence financial decisions, casting doubt on the accuracy of market predictions and the rationality of market behavior. Through a comprehensive investigation, this article aims to compare these two hypotheses and evaluate their impact on understanding financial markets and decision-making processes. By providing insights into how market efficiency and behavioral inconsistencies coexist and influence financial practice, this article aims to contribute to the ongoing discourse in monetary economics. By delving into these contrasting theories, this paper aims to provide valuable insights into how market efficiency and behavioral factors interact and shape financial outcomes.
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Mathivannan, S., and M. Selvakumar. "Test of Random Walk Theory in the National Stock Exchange." Asian Journal of Managerial Science 4, no. 2 (November 5, 2015): 21–25. http://dx.doi.org/10.51983/ajms-2015.4.2.1193.

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Capital market being a vital institution which facilitates economic development. It is true that so many parties are interested in knowing the efficiency of the capital market. The small and medium investors can be motivated to save and invest in the capital market only if their securities in the market are appropriately priced. The information content of events and its disseminations determine the efficiency of the capital market. That is, how quickly and correctly security prices reflect these information show the efficiency of the capital market.The term market efficiency is used to explain the relationship between information and share prices in the capital market. The three forms of market efficiency are weak form, semi – strong form and strong form. A market is considered as weak form if current prices fully reflect all information contained in historical prices. Thus, no investor can devise a trading rule based on past price patterns to earn abnormal return. A market is semi-strong efficient, if stock prices instantly reflect any new publicly available information. A market is said to be strong form efficient, if prices reflect all types of information whether available publicly or privately.It is usually believe that the markets in developing and less developed countries are not efficient in semi-strong form or strong form. In the developed countries, many research studies have been conducted to test the efficiency of the capital market. In India, very few studies have been conducted to test the efficiency of the capital market.The weak form of efficient market hypothesis also known as Random Walk Hypothesis states that at a given point of time, the size and direction of the next price change is at random.Hence, this paper has made an attempt to analyse whether prices in National Stock Exchange follow a random walk process as required by market efficiency.
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Hodnett, Kathleen, and Heng-Hsing Hsieh. "Capital Market Theories: Market Efficiency Versus Investor Prospects." International Business & Economics Research Journal (IBER) 11, no. 8 (August 1, 2012): 849. http://dx.doi.org/10.19030/iber.v11i8.7163.

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This paper reviews the development of capital market theories based on the assumption of capital market efficiency, which includes the efficient market hypothesis (EMH), modern portfolio theory (MPT), the capital asset pricing model (CAPM), the implications of MPT in asset allocation decisions, criticisms regarding the market portfolio and the development of the arbitrage pricing theory (APT). An alternative school of thought proposes that investors are irrational and that their trading behaviors are driven by psychological biases such as greed and fear. Prospect theory and the role of behavioral finance that describe investment decisions in imperfect capital markets are presented to contrast the Utopian assumption of perfect market efficiency. The paper concludes with the argument of Hirshleifer (2001) that heuristics are shared by investors and asset prices may not reflect their long-term intrinsic values as indicated by efficient capital market theories.
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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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Zhou, Yijia. "Market Efficiency in the UK Emerging Financial Markets." Advances in Economics, Management and Political Sciences 19, no. 1 (September 13, 2023): 366–71. http://dx.doi.org/10.54254/2754-1169/19/20230161.

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The UK financial market system is huge, more clearly divided and more functional. Under the impact of the world financial innovation trend and the increasing competition in the international financial market, the UK financial market has made quite bold financial innovations. The internationalization trend of the UK's emerging financial market, capital market and London foreign exchange market are all strengthening. The efficiency of financial markets has a significant impact on the effective functioning of financial markets and thus on the efficiency of real economic operations. Market efficiency is influenced by a variety of factors. This paper examines market efficiency in detail from the perspectives of resource allocation theory, incomplete information theory, institutional economics theory and behavioral economics theory, and concludes that market efficiency is the result of a combination of factors such as resource allocation, and information, economic behavior. According to the efficient market hypothesis, investment decisions are largely determined by market efficiency. However, even the most developed financial markets in the world today are hardly guaranteed to conform to the perfect competition hypothesis. In summary, the study of market efficiency issues has far-reaching practical implications for the UK emerging financial markets in the transition period.
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Huang, Jingyi. "The Market Efficiency in the Significant Events/Global Events: A Review of Empirical Research." Advances in Economics, Management and Political Sciences 51, no. 1 (December 1, 2023): 6–11. http://dx.doi.org/10.54254/2754-1169/51/20230600.

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The efficient market hypothesis is a significant theory widely applied in modern economic and financial research about the impact of sudden global emergencies on various markets. Investigating the influence of the Efficient Market Hypothesis on public contingencies can augment the understanding of market behavior and investors decision-making processes. This could enable anticipating market trends and risks, facilitating prudent investment activities. This study examines the empirical research through the methodology chosen, application, and comparison of conclusions to summarize the effects of the crisis on financial market efficiency within a theoretical analysis framework. This study explores the different methodologies and results of research that test market efficiency in response to events impacting economic performance. As market theory evolves, increasingly refined models are being used, leading to more precise measurements of event effects on markets and better forecasting of market impact for effective decision-making.
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Emad Azhar Ali, Syed, Fong-Woon Lai, and Muhammad Kashif Shad. "Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange." SHS Web of Conferences 124 (2021): 03002. http://dx.doi.org/10.1051/shsconf/202112403002.

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The advocates of the Efficient Market Hypothesis (EMH) theory postulates that share prices depict all the available information concerning its intrinsic worth. EMH espouses the Random Walk Theory i.e. future stock returns cannot be predicted based on past movement patterns. Contrary to that, there are believers of the Adaptive Market Hypothesis (AMH) who have questioned the adaptability of EMH and argues that market efficiency and investor’s risk perception varies across time, thus, stock returns can be predicted through active portfolio management. Various Studies have argued on market efficiency debate for developed markets, however, limited studies have examined the same for emerging markets such as Malaysia and Indonesia, which are most volatile among ASEAN-5 indices. Therefore, the primary objective of this study is to conceptualize the manifestation of efficient market hypothesis and investors’ risk perception in volatile markets of Malaysia (Kuala Lumpur Composite Index) and Indonesia (Jakarta Composite Index) by testing the 10 years (2010-2019) of daily, weekly and monthly data for the return predictability. The findings of this study will provide insight into stock market behavior to help investors to better strategize their portfolio investment positioning to reap the most efficient risk-based return.
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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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Renigier-Biłozor, Małgorzata, and Radosław Wiśniewski. "The Effectiveness of Real Estate Market Versus Efficiency of Its Participants." European Spatial Research and Policy 19, no. 1 (July 26, 2012): 95–110. http://dx.doi.org/10.2478/v10105-012-0008-5.

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Real estate markets (REMs) may be classified as strong-form efficient, semi-strong-form efficient or weak-form efficient. Efficiency measures the level of development or goal attainment in a complex social and economic system, such as the real estate market. The efficiency of the real estate market is the individual participant's ability to achieve the set goals. The number of goals is equivalent to the number of participants. Every market participant has a set of specific efficiency benchmarks which can be identified and described. In line with the theory of rational expectations, every participant should make decisions in a rational manner by relying on all available information to make the optimal forecast. The effectiveness of the real estate market is a function of the efficiency of individual market participants. This paper attempts to prove the following hypothesis: the effectiveness of a real estate market may be identified by analysing the effectiveness of its participants. The authors also discuss methods based on the rough set theory which can influence the efficiency and efficacy of market participants, and consequently, the effectiveness of the real estate market and its participants.
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Dissertations / Theses on the topic "Efficient market theory"

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Zhang, Jian. "Market efficiency test in the VIX futures market." Laramie, Wyo. : University of Wyoming, 2008. http://proquest.umi.com/pqdweb?did=1798967041&sid=1&Fmt=2&clientId=18949&RQT=309&VName=PQD.

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Antoniou, A. "Futures markets : Theory and tests." Thesis, University of York, 1986. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.377303.

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Pal, Satyajit Banking &amp Finance Australian School of Business UNSW. "Profitability of butterfly trades in bond markets." Awarded by:University of New South Wales. Banking & Finance, 2007. http://handle.unsw.edu.au/1959.4/40713.

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The Efficient Market Hypothesis (EMH) has had significant impact on the theory and practice of investments. However technical trading rules have continued to be used by practioners and have been the focus of many academic studies which have focused on equity, foreign exchange and futures markets. The scarcity of research into technical trading models for fixed income markets is astonishing considering the significant size and consequent investor importance of fixed income markets relative to other financial markets and the extensive application of technical trading models by market participants. This is one of the few studies that develops a technical trading model applicable to fixed income markets. Black (1986) defined Efficient Markets as a market where deviations from fundamental values were short lived and small in magnitude. Fundamental asset values are hard to calculate, but we are able to identify fundamental values for a set of Government Bonds on the principle that yield relativities between such bonds are quite stable except for 'deliberate' changes in trading behaviour. We find that the deviations from fundamental value are short lived and small in magnitude. We exploit deviations from fundamental value by Butterfly Trading strategies; Normal Butterfly trades earning returns from movements in yield curve slope and curvature and Arbitrage Butterfly trades earning returns from yield curve curvature only. After considering transaction costs, we achieve annualised returns of 120bps from our Normal Butterfly trades and 72 bps from our Arbitrage Butterfly trades. Consistent with the risk-return relationship for financial instruments, we find that the returns and the volatility of returns for Normal Butterfly trades are higher than the returns and volatility of returns for Arbitrage Butterfly trades. Normal Butterfly trades are exposed to yield curve slope changes whereas Arbitrage Butterfly trades are not, resulting in higher risk and higher returns for Normal Butterfly trades. This finding is consistent with the results obtained by Fabozzi, Martellini and Priaulet (2005).
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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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Fuggetta, Massimo. "Conventions and the stock market game." Thesis, University of Oxford, 1991. http://ora.ox.ac.uk/objects/uuid:80ac28d3-605a-45cf-b632-baca334211bf.

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Forecasting stock price movements is a notoriously difficult job. Were it not so, it would be easy to get richer. In this case, however, nobody would get poorer. But if nobody gets poorer, nobody will get richer. There are two ways to get out of this vicious circle. The first, and the more well-trodden, is the Efficient Market Theory (EMT), or: Everybody Understands Everything. The second is the Casino Market Theory (CMT), or: Nobody Understands Anything. This work is an attempt to bridge the gap between these two theories. In the first chapter the EMT is analysed in its fundamental constituents, while Chapter 2 contains a discussion of several empirical tests of the theory. Chapter 3 extends the EMT to incorporate variable risk premia and rational speculative bubbles and Chapter 4 presents the available empirical evidence on the extended model. The line of research based on the EMT paradigm is abandoned in Chapter 5, where the central principle of the EMT - the assumption of homogeneous investors with common priors - is investigated and challenged. The basis is there laid for an alternative view of the stock market game, which emphasises the conventional nature of investors' beliefs about future returns and is consistent with the view that stock market prices do not only reflect the fundamental value of underlying companies. In Chapter 6, the hypothesis that non fundamental information (in particular, past information) may have an influence on current stock prices is evaluated against monthly data relative to the US, UK, Japanese and Italian stock markets. Contrary to popular wisdom, we find that past information has a significant effect on current stock returns. Our evidence indicates that, as Keynes suggested in the General Theory, conventional beliefs play a crucial role in the stock market game.
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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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Koh, Sung Soo. "The Korean stock market structure, behavior, and test of market efficiency /." Online version, 1989. http://ethos.bl.uk/OrderDetails.do?did=1&uin=uk.bl.ethos.352906.

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Lam, Eric Campbell Full Yet. "Two essays on stock market anomalies /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?FINA%202009%20LAM.

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Dong, Wei, and 董炜. "Two essays on stock markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B50662211.

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 This thesis contains two pieces of empirical study on market efficiency. The first essay tests the semi-strong form of market efficiency in the U.S. We use sell-side analyst target prices as publically available information and test the performance of a mean-variance optimized portfolio which is based on the Treynor and Black model. We focus on constituents of S&P 500 index as our sample universe. During the period of beck-testing from 2004 to 2010, we find that the dynamically rebalanced portfolio beats the market in 6 out of 7 years and that the strategy generates significant risk-adjusted abnormal returns. In the second essay we study the post-earnings-announcement drift (PEAD) phenomenon, a well-documented market anomaly, on the French stock market. Our empirical study devises a difference-in-difference policy experiment to test if trading activities by individual investors contribute to the magnitude of PEAD. We exploit a recent policy reform on the French stock market, which significantly increased speculative trading costs of individual investors and reduced their trading activities. The impact of reform is found twice as large on individual contrarian traders than momentum traders. Using a group of unaffected stocks to control for potential non-experimental factors, we find magnitude of PEAD dropped significantly after the reform in the experimented group but not in the experimented group but not in the control group.
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Zhang, Hua, and 張華. "Investigating stock market efficiency in China." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B29946542.

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Books on the topic "Efficient market theory"

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Keane, Simon M. Emerging markets: The relevance of efficient market theory. London: Technical & Research Committee of the Chartered Association of Certified Accountants, 1993.

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Keane, Simon M. Efficient markets and financial reporting. 2nd ed. Edinburgh: Institute of Chartered Accountants of Scotland, 1987.

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Tanigawa, Yoshiyuki. On the dynamic efficiency of production market economies under the uncertainty with unbounded growth paths. Hikone, Shiga, Japan: Faculty of Economics, Shiga University, 2008.

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Williams, Leighton Vaughan. Market 'anomalies' as evidence of market 'inefficiency': The state of the debate. Nottingham: Nottingham Trent University, 1994.

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Poggi, Florence. An evaluation of the application of the semi-strong form of the Efficient Market Theory to the French Second Market. Dublin: University College Dublin, 1992.

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W, Lo Andrew, ed. Market efficiency: Stock market behaviour in theory and practice. Cheltenham, UK: Edward Elgar Pub., 1997.

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Amanulla, S. Indian stock market: Price integration and market efficiency. Bangalore: Institute for Social and Economic Change, 2000.

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Kenkyūjo, Hokkaidō Nijūisseiki Sōgō. Hokkaidō ni okeru butsuryū kōritsuka, kōdoka ni muketa arata na tenkai: Heisei 12-nendo chiiki kasseika suishin jigyō. [Sapporo-shi]: Hokkaidō Nijūisseiki Sōgō Kenkyūjo, 2001.

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Wall, David K. Underpricing of initial public offerings. Dublin: University College Dublin, 1993.

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Brown, Conor. Bond rating changes: Their informational value and impact on bond market efficiency. Dublin: University College Dublin, 1994.

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Book chapters on the topic "Efficient market theory"

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Read, Colin. "The Theory." In The Efficient Market Hypothesists, 102–6. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137292216_14.

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Read, Colin. "The Theory." In The Efficient Market Hypothesists, 130–33. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137292216_19.

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Read, Colin. "The Theory." In The Efficient Market Hypothesists, 189–92. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137292216_29.

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Read, Colin. "The Theory." In The Efficient Market Hypothesists, 24–32. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137292216_4.

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Read, Colin. "The Theory." In The Efficient Market Hypothesists, 75–81. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137292216_9.

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Michaud, Richard O. "Capital Market Theory and Efficient Markets." In Finance's Wrong Turns, 9–16. Cham: Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-031-21863-7_2.

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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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Laopodis, Nikiforos T. "Efficient diversification and capital market theory." In Understanding Investments, 251–94. Second Edition. | New York: Routledge, 2020. | Revised edition of the author's Understanding investments, 2012.: Routledge, 2020. http://dx.doi.org/10.4324/9781003027478-11.

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Luo, Guo Ying. "Evolution and Informationally Efficient Equilibrium in a Commodity Futures Market." In Studies in Economic Theory, 61–88. New York, NY: Springer New York, 2011. http://dx.doi.org/10.1007/978-1-4614-0712-6_4.

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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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Conference papers on the topic "Efficient market theory"

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Kulikova, Maria V., David R. Taylor, and Gennady Yu Kulikov. "Estimating a degree of evolving market efficiency: How efficient is the Romanian stock market?" In 2021 25th International Conference on System Theory, Control and Computing (ICSTCC). IEEE, 2021. http://dx.doi.org/10.1109/icstcc52150.2021.9607175.

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Jovanovski, Kiril, and Hristina Tanevska. "Information Efficiency in Small and Underdeveloped Financial Market." In 8th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2022. http://dx.doi.org/10.31410/eraz.2022.95.

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Testing the efficient market hypothesis can always bring interest­ing points regarding the functions of the financial markets. Every investor wants to beat the market, and therefore he is trying to find information that will gain him some privileges. On the other side, the stock exchanges and reg­ulatory agencies are striving to eliminate those information privileges. This is where market efficiency, its theory, and its forms come into question. Until to­day one can find research on testing the efficiency of different developed mar­kets. However, there are still a lot of gaps in research involving small and un­derdeveloped markets. This research may put the developing markets on the investment opportunities map of international investors. The purpose of this paper is to show how information efficiency relates to the Macedonian stock market by testing the weak form efficiency, using the augmented Dickey-Full­er (ADF) test to observe whether they contain a unit root or not. The results will be used to show the opportunities for adopting a profitable investment strat­egy using the technical analysis of the Macedonian stock exchange. Addition­ally, the results show that by using the mouthy price differences one cannot beat the market as the prices are moving with a random walk, which is not the case if investors are analyzing daily price differences.
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Tasevska, Ivona. "EMPIRICAL RESEARCH ON THE INFORMATION EFFICIENCY OF THE MACEDONIAN STOCK EXCHANGE." In Economic and Business Trends Shaping the Future. Ss Cyril and Methodius University, Faculty of Economics-Skopje, 2022. http://dx.doi.org/10.47063/ebtsf.2022.0027.

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One of the basic hypotheses in modern finance that defines financial markets is the Efficient Market Hypothesis. The existence of information efficient markets, where all information is incorporated in the price of financial instruments is the basis of rational economic theory. There may be an upward or downward trend in the financial markets, but after the inclusion of new information in the financial instruments, they would stabilize until the next new information. In addition to the definition of efficient markets, the hypothesis of random walk has a significant application, which explains that the market cannot be beaten and that prices and returns move in a random upward or downward direction. The paper includes two methodologies to confirm the efficiency of the financial markets. The first research was conducted in order to confirm the hypothesis of a random walk implementing a coefficient of variance test. The test was conducted using a large series of data of the returns’ movement of stock exchange indices on the Macedonian, Belgrade, Zagreb, Sofia and Ljubljana Stock Exchange, as well as the American S&P500 index. The second research which is including the model of market multipliers was conducted for the most liquid stocks on the Macedonian Stock Exchange and selected stocks from the US Stock Exchange Markets, in order to show the underestimation or overestimation in relation to the market value of stocks, thus to show the sentiment that investors have when trading a certain type of stock. The results of the research show that the regional financial markets, as well as the domestic ones, do not follow the random walk, giving an opportunity to the possibility of using alternative behavioral approaches to explain the reasons for the deviation. For the second survey, where significant differences in the fundamental and market value of the stocks appear, the reason for the deviation is the expectations of investors.
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Balcan, Maria-Florina, Siddharth Prasad, and Tuomas Sandholm. "Efficient Algorithms for Learning Revenue-Maximizing Two-Part Tariffs." In Twenty-Ninth International Joint Conference on Artificial Intelligence and Seventeenth Pacific Rim International Conference on Artificial Intelligence {IJCAI-PRICAI-20}. California: International Joint Conferences on Artificial Intelligence Organization, 2020. http://dx.doi.org/10.24963/ijcai.2020/47.

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A two-part tariff is a pricing scheme that consists of an up-front lump sum fee and a per unit fee. Various products in the real world are sold via a menu, or list, of two-part tariffs---for example gym memberships, cell phone data plans, etc. We study learning high-revenue menus of two-part tariffs from buyer valuation data, in the setting where the mechanism designer has access to samples from the distribution over buyers' values rather than an explicit description thereof. Our algorithms have clear direct uses, and provide the missing piece for the recent generalization theory of two-part tariffs. We present a polynomial time algorithm for optimizing one two-part tariff. We also present an algorithm for optimizing a length-L menu of two-part tariffs with run time exponential in L but polynomial in all other problem parameters. We then generalize the problem to multiple markets. We prove how many samples suffice to guarantee that a two-part tariff scheme that is feasible on the samples is also feasible on a new problem instance with high probability. We then show that computing revenue-maximizing feasible prices is hard even for buyers with additive valuations. Then, for buyers with identical valuation distributions, we present a condition that is sufficient for the two-part tariff scheme from the unsegmented setting to be optimal for the market-segmented setting. Finally, we prove a generalization result that states how many samples suffice so that we can compute the unsegmented solution on the samples and still be guaranteed that we get a near-optimal solution for the market-segmented setting with high probability.
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Peleckis, Kęstutis, Valentina Peleckienė, and Kęstutis Peleckis. "International Business Negotiations: Search of the Balance and the Equilibrium of Negotiating Powers, under Distorting Market Conditions of Competition (Monopsony, Oligopsony and Monopoly Cases)." In Contemporary Issues in Business, Management and Education. Vilnius Gediminas Technical University, 2017. http://dx.doi.org/10.3846/cbme.2017.041.

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Certain challenges arise in business negotiations when competition in the market is more or less distorted. This can take place in various markets conditions. In such situations great possibilities open up to the development of international business relations as overclocking new market participants can provide additional alternatives for companies and organizations or other business units, by reducing the negative impact of competition distortions for the balance of negotiating power of participants in negotiations. In the development and implementation of effective international business negotiation strategy, it is important to identify the balance of negotiating power of major participants in negotiations in order to make more efficient use of the potential of business negotiations – the negotiating powers. The aim of this article is to analyze in complex the unfolding theory and practice of development and implementation of international business negotiations and negotiating strategies under distorting market competition conditions, to reveal opportunities on development and implementing improvements of these strategies in cases of monopsony, oligopsony and monopoly. Object of the research is the search of balance on negotiating powers in international business negotiations under conditions of distorted competition in the market. The scientific problem - negotiation theory lacks measures for assessment and balancing the negotiating powers of negotiation’s participants under distorted market competition.
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Smerkolj, Nik, and Marko Jeran. "Testing Market Efficiency in Emerging Markets’ Stock Indices with Runs Tests." In Socratic Lectures 8. University of Lubljana Press, 2023. http://dx.doi.org/10.55295/psl.2023.ii17.

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According to the efficient market hypothesis (EMH), the prices of securities reflect all the available information on the market. Efficient markets have an important consequence – it is not possible for an investor to consistently outperform the market by using infor-mation that is not already reflected in the prices of securities. No matter how much re-sources one deploys into security analysis, no excess return can be made, which means that investors seeking higher returns must bear higher risk given the risk-return trade-off. Inefficient markets, on the other hand, offer investors opportunities for higher returns at the same risk profile. In this scientific contribution, we test seven emerging markets' stock indices for a weak form of market efficiency. Numerous previous research indicates that emerging markets are not fully efficient and that prices on their stock markets do not fol-low a random walk. We performed runs tests on weekly and monthly returns of stock in-dices and found statistically significant results in three indices for weekly and three in-dices for monthly returns, which indicates that these indices violate weak form of market efficiency. We found insignificant results, which indicate efficient markets, only for weekly and monthly returns on the Indian BSE Sensex 30 Index. Thus we come to similar conclusions as other authors that emerging markets persist to violate weak form of mar-ket efficiency and remain an attractive opportunity for investors seeking to exploit ineffi-ciencies. Keywords: Market efficiency; Efficient market hypothesis; Random walk; Emerging mar-kets; Stock Exchange Index; Runs test
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Shan Wei, Jarrett Yeo, and Yeo Chai Kiat. "CalixBoost: A Stock Market Index Predictor using Gradient Boosting Machines Ensemble." In 8th International Conference on Artificial Intelligence (ARIN 2022). Academy and Industry Research Collaboration Center (AIRCC), 2022. http://dx.doi.org/10.5121/csit.2022.121009.

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The potential of machine learning has sustained the interest of both academia and industry in stock market prediction over the past decade. This paper aims to integrate modern techniques such as Gradient Boosting Machines (GBMs) into a novel ensemble called CalixBoost which is a resource-efficient and accurate stock index predictor. Data comprising macro-economic metrics and technical financial indicators, as well as sentiment analysis of social media using a simple and fast but effective rule-based model are used in this paper. Other techniques include model tuning with Bayesian Optimization, temporal consistency analysis for invariant feature selection over random trial-and-error, feature importance and inter-feature relationships analysis using a unified game theory approach using Shapley values. Lastly, the model will be evaluated using a novel holdout method, viz. on two separate test datasets whose datapoints are collected under (i) normal economic activity and (ii) during a black swan (financial downturn). The experimental results show that our model outperforms previous methods and can achieve a good prediction performance with 84.88% accuracy, 0.0956 RMSE, 0.0573 MAE and 4.19% MAPE.
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Michael, Andreas. "The True Market Value of a Good Petroleum Engineer: A Technical Perspective." In SPE Annual Technical Conference and Exhibition. SPE, 2021. http://dx.doi.org/10.2118/206272-ms.

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Abstract Defined by SPE as the application of basic and engineering sciences to the finding, development, and recovery of oil, gas and other resources from wells, petroleum engineering (PE) has been throughout the years falsely thought of as an amalgamation of other disciplines applied to the exploration and recovery of hydrocarbons. Integrating all PE subdisciplines in a manner efficient for teaching and learning is essential for securing the abundance of well-rounded market-attractive professionals. This paper discusses advantages individuals with PE background experience should exhibit in their employment in the oil and gas industry and academia. There is no point for students in going to school for a degree that will not hand them a competitive edge within their discipline. For graduate PEs, the job market is dependent on the quality of their respective academic programs and by extension to the quality of the teaching faculty. A steady oil and gas job market may not necessarily warrant robust employment opportunities, particularly straight after graduation. In a discipline like PE, where almost everything that matters takes place thousands of feet underground, apportioning credit for successes or responsibility for failures is itself a challenge. Decreases in student enrollments in PE programs reported by various universities during times of low oil and gas prices poses questions about the future of the PEs discipline, despite the steady demand for oil and gas in the world's energy mix. Academic programs interested in facilitating a smooth transition of their graduates into the industry should work in conjunction with practitioners to provide the correct balance between theory and practice in their coursework ensuring that once employment opportunities are created, they get filled with candidates of relevant education and training. PE degree-holding candidates should be the natural first choice for PE positions. This means that their educational and professional backgrounds should be providing them with an undisputed advantage which places them a leg above candidates from other disciplines. For instance, for a well completions job opening, there should not be a better alternative than a good PE specialized in well completions. If every PE graduate comes out of his or her program with a skillset which is superior to that of his or her competition, he or she will be the preferred choice for an oil and gas job.
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Mahfouz, Ahmed, Ahmad Mohammad Ahmad, Shimaa Basheir Abdelkarim, Nada Hammam, Maryam AlMulla, Yongcheol Lee, and Khalid Naji. "Marketing Strategies for Smart Buildings." In The 2nd International Conference on Civil Infrastructure and Construction. Qatar University Press, 2023. http://dx.doi.org/10.29117/cic.2023.0030.

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Globally, there is a growing proportion of the need to optimize monitoring and facility management of new and existing built facilities. Smart buildings provide waste reduction to the environment, flexibility to facility users, and optimization opportunities to the owner. Several research projects explore the monitoring, management, and maintenance of smart buildings towards efficient facility management (FM). However, there is a lack of defined, effective, efficient, and successful marketing schemes for smart buildings. Furthermore, smart buildings utilize the different technological possibilities and advancements in the smart building business and impact relevant stakeholders such as clients, facility managers, and users. Therefore, the study aims to develop a marketing strategy for smart buildings. The study adopts an integrative approach as the underpinning theory. The study's methodology adopts a robust analysis of different market strategies for various building types in the construction industry. In addition, lessons are deducted from the building typologies, such as sustainable buildings, tall and green buildings. The proposed marketing strategy requires four defined phases: segmentation, targeting, positioning and differentiations. The marketing directions focus on activities, actors, and tools through a comprehensive, detailed, and interpretative literature review. The proposed adaptable market strategy integrates client and facility users, focusing on the main drivers for marketing smart buildings. Therefore, the study is significant for facility managers, developers, and facility users.
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Kuzu, Serdar. "The Effects of the Illiquidity Premium on Security Returns and its Importantance for Eurasia." In International Conference on Eurasian Economies. Eurasian Economists Association, 2011. http://dx.doi.org/10.36880/c02.00269.

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This study investigates the illiquidity premium, which has major impact on Eurasian economies, and its term structure. For this aim, The Germany which is very important for Europa and Asia countries is investigated. In this study, the effects of the term structure of the illiquidity premium on government and corporate bonds and “the return of securities – illiquidity premium – expectation theory relationship” are investigated through various parameters and formulations. Consequently, the study is used to Kempf, Korn and Uhrig-Homburg’ study, which aims to investigate relations between German public sector’s bonds and private sector’s bonds and it was realized 2009. It is found that illiquidity premium varies in short, medium and long terms depending upon different factors and the curve that connects illiquidity premiums with different terms is a U shaped curve. Studies that use traditional methods in asset pricing evaluate the illiquidity premium as a systematic risk criteria. But, illiquidity is a risk factor that should be investigated alone instead of be investigated with all of the risk factors. Financial market makers aim to make arrangements that remove the problems arising from the level of liquidity, in other words increase the level of liquidity, and contribute to the formation of efficient price.Further studies in this field will be very important in the development process of corporate bonds market with the decrease of interest rates in international markets and the issue of new corporate bonds in developing countries recently.
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Reports on the topic "Efficient market theory"

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Finkelstain, Israel, Steven Buccola, and Ziv Bar-Shira. Pooling and Pricing Schemes for Marketing Agricultural Products. United States Department of Agriculture, August 1993. http://dx.doi.org/10.32747/1993.7568099.bard.

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In recent years there has been a growing concern over the performance of Israel and U.S. agricultural marketing organizations. In Israel, poor performance of some marketing institutions has led to radical reforms. Examples are the two leading export industries - citrus and flowers. In the U.S., growth of local market power is eliminating competitive row product prices which served as the basis for farmer cooperative payment plans. This research studies, theoretically, several aspects of the above problem and develops empirical methods to assess their relative importance. The theoretical part deals with two related aspects of the operation of processing and marketing firms. The first is the technological structure of these firms. To this end, we formalize a detailed theory that describes the production process itself and the firm's decision. The model accounts for multiple products and product characteristics. The usefulness of the theory for measurement of productivity and pricing of raw material is demonstrated. The second aspect of the processing and marketing firm that we study is unique to the agricultural sector, where many such firms are cooperatives. In such cooperative an efficient and fair mechanism for purchasing raw materials from members is crucial to successful performances of the firm. We focus on: 1) pricing of raw materials. 2) comparison of employment of quota and price regimes by the cooperative to regulate the quantities, supplied by members. We take into consideration that the cooperative management is subject to pressure from member farmers. 3) Tier pricing for raw materials in order to ensure efficiency and zero profits at the cooperative level. This problem is examined in both closed and open cooperatives. The empirical part focuses in: 1) the development of methodologies for estimating demand for differentiated products; 2) assessing farmers response to component pricing; 3) measurement of potential and actual exploitation of market power by an agricultural marketing firm. The usefulness of the developed methodologies are demonstrated by several application to agricultural sub-sectors, including: U.S. dairy industry, Oregon wine industry, Israeli Cotton industry and Israeli Citrus industry.
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Albrecht, Brian C., Thomas M. Phelan, and Nick Pretnar. Time Use and the Efficiency of Heterogeneous Markups. Federal Reserve Bank of Cleveland, November 2023. http://dx.doi.org/10.26509/frbc-wp-202328.

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What are the welfare implications of markup heterogeneity across firms? In standard monopolistic competition models, such heterogeneity implies inefficiency even in the presence of free entry. We enrich the standard model with heterogeneous firms so that preferences are non-separable in off market time and market consumption and show that this changes the welfare implications of markup heterogeneity. In this context, homogeneity of markups is neither necessary nor sufficient for efficiency. The marginal cost of the marginal firm is weakly inefficiently high when off-market time and market consumption are complements and inefficiently low when they are substitutes, and the equilibrium allocation devotes weakly too few resources to firm creation. However, when off-market time and market consumption are perfect complements, markups are heterogeneous across firms and yet the equilibrium allocation is efficient.
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Dow, James, and Gary Gorton. Stock Market Efficiency and Economic Efficiency: Is There a Connection? Cambridge, MA: National Bureau of Economic Research, August 1995. http://dx.doi.org/10.3386/w5233.

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Titman, Sheridan. The Modigliani and Miller Theorem and Market Efficiency. Cambridge, MA: National Bureau of Economic Research, December 2001. http://dx.doi.org/10.3386/w8641.

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Leonardo, Fabio Morales, Carlos Ospino, and Amaral Nicole. Online Vacancies and its Role in Labor Market Performance. Banco de la República, September 2021. http://dx.doi.org/10.32468/be.1174.

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This paper assesses whether the expansion of online job vacancies leads to a more efficient labor market. We provide compelling evidence that the increase in online job vacancy penetration in Colombia has had an enhancing effect on the labor market's efficiency by making it easier for firms to find workers to fill their job openings. An estimation of the Beveridge Curve (unemployment to vacancies relationship), a well-established theoretical development from search models, concludes that policies that increase online vacancy posting enhance efficiency. We implement a differences in differences design to take advantage of a regulation, which mandates that all authorized online vacancy providers report any online vacancy to the Public Employment Service in Colombia. We find that sub-segments of the labor market with a relevant fraction of their vacancies posted online, presented on average nearly 15% lower vacancy rate for a given unemployment rate. Therefore, for these sub-segments, the Beveridge curve shifted inwards due to efficiency enhancements. These findings support active search policies to reduce information barriers, which reduce the odds of firms and workers finding one other in the labor market. Policies as those implemented by the Public Employment Service in Colombia seem to be beneficial.
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Considine, Jennifer, Philip Galkin, and Abdullah Aldayel. Global Crude Oil Storage Index: A New Benchmark for Energy Policy. King Abdullah Petroleum Studies and Research Center, September 2022. http://dx.doi.org/10.30573/ks--2022-mp01.

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The global oil market dwarfs other commodity markets. Its size and role in the energy and industrial value chains underscore its significant economic and geopolitical impacts. Thus, the consequences of oil price fluctuations extend far beyond the oil industry and can be viewed as a barometer of trends in the global economy. Several oil price benchmarks currently compete in the global market. The most popular ones, such as Brent or West Texas Intermediate (WTI), are backed by a sufficient supply of the underlying crude. They also meet the criteria for efficient trading, hedging and speculating — including having sufficient liquidity, developed futures markets, low transaction costs and strong institutional support.
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Kalkar, Uma, and Natalia González Alarcón. Facilitating Data Flows through Data Collaboratives: A Practical Guide to Designing Valuable, Accessible, and Responsible Data Collaboratives. Inter-American Development Bank, October 2023. http://dx.doi.org/10.18235/0005185.

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Data is an indispensable asset in today's society, but its production and sharing are subject to well-known market failures. Among these: neither economic nor academic markets efficiently reward costly data collection and quality assurance efforts; data providers cannot easily supervise the appropriate use of their data; and, correspondingly, users have weak incentives to pay for, acknowledge, and protect data that they receive from providers. Data collaboratives are a potential non-market solution to this problem, bringing together data providers and users to address these market failures. The governance frameworks for these collaboratives are varied and complex and their details are not widely known. This guide proposes a methodology and a set of common elements that facilitate experimentation and creation of collaborative environments. It offers guidance to governments on implementing effective data collaboratives as a means to promote data flows in Latin America and the Caribbean, harnessing their potential to design more effective services and improve public policies.
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Kayser, Olivier, Lucie Klarsfeld, and Simon Brossard. The Broadband Effect: Enhancing Market-based Solutions for the Base of the Pyramid. Inter-American Development Bank, September 2014. http://dx.doi.org/10.18235/0005987.

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Broadband has a potential impact on the base of the pyramid (BOP), a segment of the population previously excluded from markets, and which lacks access to quality goods and services. Broadband facilitates the development of new business models that are more effective and efficient in terms of accessing, creating, and distributing goods and services to the BOP. A variety of private-sector-led broadband initiatives involving the BOP around the world have demonstrated profitability, while also providing social and economic returns along the value chain. Without the use of such technology, these solutions in some cases would not be available to this segment of the population. The Broadband Effect examines, at a global level, how companies that serve the BOP are deploying the use of broadband to improve the efficiency of their operations and better reach this market segment. This report sheds light on these broadband-enabled BOP business models, the ecosystem in which they operate the benefits and challenges of broadband adoption, and the role of public policy and regulation. The business cases studies therein are sustainable models that directly target the BOP and are enhanced by the use of broadband- and Internet-enabled technologies. The case studies come from a variety of developing economies in different regions around the world, as well as from different sectors such as financial services, education, and health.
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Kayser, Olivier, Lucie Klarsfeld, and Simon Brossard. The Broadband Effect: Enhancing Market-based Solutions for the Base of the Pyramid (Executive Summary). Inter-American Development Bank, September 2014. http://dx.doi.org/10.18235/0005988.

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Broadband has a potential impact on the base of the pyramid (BOP), a segment of the population previously excluded from markets, and which lacks access to quality goods and services. Broadband facilitates the development of new business models that are more effective and efficient in terms of accessing, creating, and distributing goods and services to the BOP. A variety of private-sector-led broadband initiatives involving the BOP around the world have demonstrated profitability, while also providing social and economic returns along the value chain. Without the use of such technology, these solutions in some cases would not be available to this segment of the population. The Broadband Effect examines, at a global level, how companies that serve the BOP are deploying the use of broadband to improve the efficiency of their operations and better reach this market segment. This executive summary sheds light on these broadband-enabled BOP business models, the ecosystem in which they operate the benefits and challenges of broadband adoption, and the role of public policy and regulation. The business cases studies therein are sustainable models that directly target the BOP and are enhanced by the use of broadband- and Internet-enabled technologies. The case studies come from a variety of developing economies in different regions around the world, as well as from different sectors such as financial services, education, and health.
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Šiljak, Dženita. The Effects of Institutions on the Transition of the Western Balkans. Külügyi és Külgazdasági Intézet, 2022. http://dx.doi.org/10.47683/kkielemzesek.ke-2022.19.

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The Western Balkan countries have been lagging behind in their transition process, which started more than 30 years ago. While some justification can be made in the fact that the countries went through wars in the 1990s, the real problem is that they have not been able to create efficient institutions. Inefficient institutions hamper economic growth, as the countries do not attract foreign direct investment (FDI) to the extent they could and should. A lack of FDI affects three aspects of the transition process in the region: developing a functioning market economy, competitiveness, and convergence. Improvements in these areas can only be done by building efficient institutions.
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