The notion of informational efficiency for financial markets represents one of the cornerstones on which the whole asset pricing theory rests. It requires that the price St of an individual asset is expected to discount all information Ft accumulated up to time t, as a consequence of the quick and wide spread of news, which should ensure that eventual departures from equilibrium values cannot last for long. Originated by the more general notion of equilibrium, efficiency is generally introduced and tested in terms of the expected value of properly discounted payoffs[1]...
Assessing market (in)efficiency
Bianchi Sergio
;Pianese Augusto
;Pantanella Alexandre
;Palazzo Anna Maria
2016-01-01
Abstract
The notion of informational efficiency for financial markets represents one of the cornerstones on which the whole asset pricing theory rests. It requires that the price St of an individual asset is expected to discount all information Ft accumulated up to time t, as a consequence of the quick and wide spread of news, which should ensure that eventual departures from equilibrium values cannot last for long. Originated by the more general notion of equilibrium, efficiency is generally introduced and tested in terms of the expected value of properly discounted payoffs[1]...File in questo prodotto:
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