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Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre

This paper analyzes the fundamental changes in market structures that may result from the increasing use of information technology. First, an analytic framework is presented and its usefulness is demonstrated in explaining several major historical changes in American business structures. Then

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We propose a measure of capital market integration arising from a conditional regime-switching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a

We propose an indexing method for time sequences for processing similarity queries. We use the Discrete Fourier Transform (DFT) to map time sequences to the frequency domain, the crucial observation being that, for most sequences of practical interest, only the first few frequencies are strong. Another important observation is Parseval's theorem, which specifies that the Fourier transform preserves the Euclidean distance in the time or frequency domain. Having thus mapped sequences to a lower-dimensionality space by using only the first few Fourier coe cients, we use R-trees to index the sequences and e ciently answer similarity queries. We provide experimental results which show that our method is superior to search based on sequential scanning. Our experiments show that a few coefficients (1-3) are adequate to provide good performance. The performance gain of our method increases with the number and length of sequences.

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We propose a theory of securities market under- and overreactions based on two well-known psychological biases: investor overconfidence about the precision of private information; and biased self-attribution, which causes asymmetric shifts in investors ’ confidence as a function of their investment

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