Risk aversion, uncertain information, and market efficiency

Keywords

Risk aversion (psychology), Economics, Efficient-market hypothesis, Financial market, Rational expectations

References

• On the Impossibility of Informationally Efficient MarketsSanford J. Grossman — 1980
• Strategies for Pairwise Competition in Markets and OrganizationsBradford Cornell, Richard Roll — 1981
• Proof That Properly Discounted Present Values of Assets Vibrate RandomlyPaul A. Samuelson — 1973
• Risk and return: Janaury vs. the rest of the yearSeha M. Tiniç, Richard West — 1984
• Evidence on Stock Market OverreactionJohn S. Howe — 1986
• Expected stock returns and volatilityKenneth R. French, G. William Schwert, Robert F. Stambaugh — 1987
• Options: A Monte Carlo approachPhelim P. Boyle — 1977
• Differential Information and Security Market EquilibriumChristopher B. Barry, Stephen J. Brown — 1985
• The effect of discretionary price control decisions on equity valuesRichard S. Ruback — 1982
• Increasing risk: I. A definitionMichael Rothschild, Joseph E. Stiglitz — 1970
• Predictable events and excess returns: The case of dividend announcementsAvner Kalay — 1985
• Some New Stock-Market IndexesLawrence Fisher — 1966
• Anticipated information releases reflected in call option pricesJames M. Patell, Mark A. Wolfson — 1979
• Risk, Return, and Equilibrium: A RevisitSeha M. Tiniç, Richard West — 1986
• Market overreactionKeith C. Brown, W. V. Harlow — 1988
• Stock returns and the weekend effectKenneth R. French — 1980
• The Information Content Of Annual Earnings AnnouncementsWilliam H. Beaver — 1968
• On the Contrarian Investment StrategyKam‐Fai Chan — 1988
• SOME CONSEQUENCES OF THE VALUATION MODEL WHEN EXPECTATIONS ARE TAKEN TO BE OPTIMUM FORECASTSClive W. J. Granger — 1975
• The Behavior of Stock-Market PricesEugene F. Fama — 1965

Cited by

• Long-term price overreactions: are markets inefficient?Guglielmo Maria Caporale, Luis A. Gil-Alaña, Alex Plastun — 2018
• MARKETING STRATEGY BEYOND THE FIRM BOUNDARY: ESSAYS EXAMINING THE EFFECTS OF SOCIAL NETWORKS ON FIRM PERFORMANCEFelipe Thomaz — 2014
• Sovereign Debt Disputes. Testing the role of politics and institutions in financial crisis resolution.Henrik Enderlein, Laura Müller, Christoph Trebesch — 2008
• Four essays on return behaviour and market microstructures : evidence from the Saudi stock marketAhmed Alzahrani — 2009
• Predicting Asset Returns in Developed and Emerging MarketsAnkit Sharma, Keyur B. Thaker — 2012
• How do stocks react to extreme market events? Evidence from BrazilMo Chaudhury, Pedro Piccoli — 2017
• Stock Return Variation and Expected Future Dividends : -An empirical Study Based on NASDAQ OMX StockholmSarvar Samiev — 2011
• Aktiemarknaden ur ett psykologiskt perspektiv utifrån finansanalytikers synvinkelSebastian Pålsson, Ewelina Stępniewska, Marcus Österling — 2007
• Värderelevans i svenska fastighetsbolags redovisning : En repetitiv studie av Bengt Bengtssons forskningSofie Billstam, Madeleine Gustafsson — 2013
• Detecting False Financial Statements Using Published Data From The Istanbul Stock ExchangeCemal Küçüksözen, Güray Küçükkocaoğlu — 2005
• O EFEITO DE DETERMINANTES MICROECONÔMICOS E CONJUNTURAIS SOBRE A VOLATILIDADE DOS RETORNOS DAS PRINCIPAIS AÇÕES NEGOCIADAS NO BRASILCésar Nazareno Caselani — 2005
• A Regime-Level Empirical Model of the Specialist Quote Revision ProcessFrederick H. deB. Harris, Thomas H. McInish — 2000
• Inflation News and the Stock Market: Macroefficiency or OverreactionJohan Knif, James W. Kolari, Seppo Pynnönen — 2003
• Decomposing the Effect of Consumer Sentiment News - Evidence from US Stock and Stock Index Futures MarketsShumi Akhtar, Robert W. Faff, Barry Oliver — 2011
• Political Uncertainty and Firm Valuation: Evidence of a Discount Related to the Quebec Independence MovementRoger C. Graham, Cameron K.J. Morrill, Janet Morrill — 2000
• HETEROGENEOUS TRADERS AND THE UNBIASEDNESS HYPOTHESIS: EXPLAINING THE MARK/DOLLAR BIASNicos Christodoulakis, Sarantis Kalyvitis — 1997
• Do Daily Price Limits Act as Magnets? The Case of Treasury Bond FuturesMarcelle Arak, Richard E. Cook — 1997
• Do residual earnings price ratios explain cross-sectional variations in stock returns?Donna Dudney, Benjamas Jirasakuldech, Thomas S. Zorn — 2015
• Dividend Reductions and Interim Effect: UK EvidenceBalasingham Balachandran — 1998
• On the determinants of initial public offering underpricingYongyuan Qiao — 2008

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