Market efficiency

The efficiency of the corporate bond market is not well understood. Although many of the factors used to analyze stock market efficiency translate with some adjustments to corporate bond markets, the cause-effect factor is not intuitive and can be a source of significant confusion. In this manuscript we analyze bond market efficiency in the context of a recent court decision. In recent litigation concerning allegations of securities fraud perpetrated by the American International Group (AIG), the federal district court for the Southern District of New York declined to certify a class of bondholders, citing lack of common questions of law or fact. The decision turned on an empirical analysis of whether certain AIG bonds traded in an open, developed and efficient market. If the market for these bonds had been found efficient, there would have been grounds to certify the bondholders as a class. Ironically, the court found insufficient empirical evidence to hold that the $1.71 billion i...

We test for a relation between football match results and the specific national stock index returns during the period 1990–2006 by means of an event study approach. We employ two different econometric frameworks to cross-check our results and prevent them from being solely model driven: the constant mean model and a two-state Markov-switching market model. Both approaches find no significant

One form of confirmation bias is the tendency for people to ignore information that is inconsistent with their current beliefs. While confirmation bias is the subject of both analytical models and experiments in accounting and finance, its effect on market prices has not been studied due to limitations associated with traditional financial markets. In eleven real-money movie box office prediction markets, confirmation bias was induced in all traders via the explanation effect, i.e. a requirement to submit a box office forecast and an explanation prior to trading. When all traders are subject to confirmation bias, market prices do not accurately reflect new, value-relevant information. However, in comparable a set of seven real-money movie prediction markets that included both traders who have not been subject to explanation requirement and those who have, we find efficient incorporation of new information into market prices. This study extends our knowledge of the conditions under w...

This paper develops a conceptual and methodological framework for the analysis and measurement of economic resilience. The working definition of economic resilience adopted in this paper is the "nurtured" ability of an economy to recover from or adjust to the effects of adverse shocks to which it may be inherently exposed. This concept is used to provide an explanation as to why a number of inherently vulnerable countries have attained relatively high levels of GDP per capita. The paper also presents a tentative approach aimed at developing an index of economic resilience covering four aspects namely macroeconomic stability, microeconomic market efficiency, governance and social development.

A facsimile apparatus uses a single memory in a facsimile system and a printer system without using an interface between the two systems. In the facsimile apparatus, a FAX controller stores data received via a communication line. A recording control circuit fetches data from the memory via a data bus, and records an image based on the fetched data. A memory intervention circuit outputs a data bus selection signal, and switches an address of access to the recording medium and a connection of the data bus. Thus, a single memory is shared between a facsimile system and printer system.

ABSTRACT
The responsiveness of the market financial instruments in terms of prices to reflect market information and the inability of information privileged market participant(s) to out-perform other counterparts pose the quest to test whether the strong form of market efficiency prevail in the Nigerian capital market or not. With the extraction of the returns on 240 stocks from the database of the Nigerian Stock Exchange (NSE), a comparison was made between a constructed random portfolio and a 3-year annualized average return on the portfolios of the mutual fund industry. In this empirical study, the analysis deduced that mutual funds were unable to out-perform the random portfolios created from the index stocks, which thus implies that the strong form of market efficiency holds in the Nigerian Capital Market. Nonetheless, profound analysis on stock volatility risk is essential to avoid substantial loss in the stock market.
Keywords: Market Efficiency, Capital Market, Nigerian Stock Exchange (NSE) Stocks, Information, Portfolio, Random Walk, Mutual Funds.

The OTC derivatives markets all over the world have shown tremendous growth inrecent years. In the wake of the present financial crisis, which is believed to have beenexacerbated by OTC derivatives, increasing attention is being paid to analysing theregulatory environment of these markets. In this context, we analyse the regulatoryframework of the OTC derivatives market in India. The paper, inter alia, seeks toprove the point that the Indian OTC derivatives markets, unlike many otherjurisdictions, are well regulated. Only contracts where one party to the contract is anRBI regulated entity are considered legally valid in India. A good reporting systemand a post-trade clearing and settlement system, through a centralised counter party,has ensured good surveillance of the systemic risks in the Indian OTC market.From amongst the various OTC derivatives markets permitted in India, interest rateswaps and foreign currency forwards are the two prominent markets. However, byinternational standards, the total size of the Indian OTC derivatives markets stillremains small because credit default swaps were conspicuously absent in India untilnow. It appears that Indian OTC derivatives markets will grow fast once again afterthe present financial crisis is over. This research paper explores those open issues thatare important to ensure market stability and development. On the issue of the muchdiscussed competition between exchange-traded and OTC-traded derivatives, webelieve that the two markets serve different purposes and would contribute more torisk management and market efficiency, if viewed as complementary. Regarding theintroduction of new derivative products for credit risk transfer, the recentannouncement by the RBI that it would introduce credit default swaps is a welcomesign. We believe that routing of credit default swaps through a reporting platform andmanaging its post-trade activities through a centralised counterparty would providebetter surveillance of the market. Strengthening the position of the ClearingCorporation of India Ltd. (CCIL) as the only centralised counterparty for Indian OTCderivatives market and better supervision of the off-balance sheet business offinancial institutions are two measures that have been proposed to ensure the stabilityof the market.

The Momentum effect is a capital market puzzle. International evidence has found anomalies that market efficiency-based explanations have been so far unable to explain. If it is pervasive, the Momentum effect should be present in the Chilean market as well. From the perspective of the existing literature, this is an out-of-sample test of the effect and thus constitutes our main motivation. This paper mainly follows the methodology proposed by Jegadeesh and Titman (1993, 2001) and finds a strong presence of the momentum effect. Ignoring transaction costs, trading strategies consisting of buying past winners and selling past losers, earn significant abnormal returns in the period July 1991 - September 2008. We also study possible empirical regularities in this behavior, finding non discernible patterns in performance. Nonetheless, such patterns arise in terms of persistence: aggregate economic shocks affect the profit levels from a Momentum-based strategy but do not affect its statistically significant presence throughout the business cycle.

Forecasting methods are routinely employed to predict the outcome of competitive events (CEs) and to shed light on the factors that influence participants’ winning prospects (e.g., in sports events, political elections). Combining statistical models’ forecasts, shown to be highly successful in other settings, has been neglected in CE prediction. Two particular difficulties arise when developing model-based composite forecasts of CE

An organization has two essential elements that form the overall worth of that organization, that is it’s the equity and debt. For business executives to expose their entities to public ownership, there is the need to sell out ownership of parts of these entities, in the form of shares/ stocks and/or bonds, to generate revenue for the operation of the business. The question therefore is; how can businesses get these stocks and bonds out there for public patronage? This is where the capital market comes in.
Capital market is structured to serve as a platform for the sales and purchase of stocks and bonds. Diverse speculations and intellectual theories have been formulated around capital market, among which one of the most notable one was the Efficient Market Hypothesis (EMH), propounded by Eugene Fama in the 1960s. Concisely, the EMH ascertains that all information for sellers and purchasers of stocks are available in the prices of the stocks/ securities, hence, the exceptional performance of a security exclusively attributed to the investor is purely based on chance and not skill. This paper analyzes the Market efficiency theories and concepts.