The departures from market efficiency are used to provide evidence of overreaction and underreaction in two main stock indexes. Specifically, using the notion of α-efficiency, we document the presence of stochastic dominance in the conditional distributions of mean log-price variations.
Stochastic dominance in the outer distributions of the α-efficiency domain
Sergio Bianchi;Augusto Pianese;Massimiliano Frezza;Anna Maria Palazzo
2020-01-01
Abstract
The departures from market efficiency are used to provide evidence of overreaction and underreaction in two main stock indexes. Specifically, using the notion of α-efficiency, we document the presence of stochastic dominance in the conditional distributions of mean log-price variations.File in questo prodotto:
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eMAF 2020 Mathematical and Statistical Methods for Actuarial Sciences and Finance eMAF2020 (Marco Corazza, Manfred Gilli, Cira Perna etc.).pdf
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