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Weak Form Efficiency Tests - Björn Schubert

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2009-07-21
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Seminar paper from the year 2009 in the subject Business economics - Investment and Finance, grade: 2,3, University of Edinburgh, language: English, abstract: While using standard tests of weak form market efficiency along with the more recent DELAY test, this report examines if the returns of six selected stocks and two decile indices follow a random walk which would evidence the non-predictability of futu ... Visas aprašymas

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Seminar paper from the year 2009 in the subject Business economics - Investment and Finance, grade: 2,3, University of Edinburgh, language: English, abstract: While using standard tests of weak form market efficiency along with the more recent DELAY test, this report examines if the returns of six selected stocks and two decile indices follow a random walk which would evidence the non-predictability of future stock returns by historical prices which is a necessary condition for the weakest form of market efficiency. The evidence of four different measurement tests suggests that except of one stock all stocks and indices drift away from the weak form market efficiency hypothesis.

Daugiau informacijos

Autorius Björn Schubert
Leidėjas GRIN Verlag
Išleidimo metai 2009
Viršelio tipas Minkšti viršeliai
EAN 9783640378562
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20,46 € 27,28 €