[PDF] Top 20 Efficiency in stock markets with DEA: evidence from PSI20

... the evidence that DEA gives analysts an ...relies in the facility of calculating an overall efficiency score based on financial data, to examine different aspects of financial conditions and ... See full document

... associated with the rationality of ...engaged in recent ...securities in a rational ...presents evidence from stock ...that stock market anomalies can be attributed to ... See full document

... a stock reflects all available information, past and ...itself. In this situation movements in stock prices are a consequence of new information, and if the information is new obviously it ... See full document

... entropy. In this paper we investigate the long memory and volatility clustering for the SP 500, NASDAQ 100 and Stoxx 50 in- dexes in order to compare the US and European ...results from ... See full document

... ratios with an average of 36 percent, while family-controlled firms have the lowest with 28 ...necessary in maintaining a healthy stock ...financial markets regulations is panacea to ... See full document

... approaches in a structural microstructure ...heterogeneity in the market assessment of public fundamental information explains the stock market responses to such ...nents in the fundamental ... See full document

... market efficiency applied to stock market indexes of France, Germany, UK, Greece, Portugal and Spain, from January 1993 to December ...the stock market index follows a random ...convincing ... See full document

... studies with different approaches that confirm the relationship between politics and stock market ...volatility. In the paper by (Bialkowski, Gottschalk, & Wisniewski, 2008) the authors proceed ... See full document

... The DEA methodology however, is the most used approach when analyzing efficiency mostly due its capacity to evaluate technical performance utilizing price-free input/output ...methodology in ... See full document

... dependence in Portuguese financial time series namely stock exchange indexes ...exist in a series even if we have already concluded for the lack of linear ...financial markets weak form ... See full document

... contribution in this study is essentially threefold: first we discuss and survey conceptual and methodological issues related to the measurement and analysis of public sector ...and Efficiency composite ... See full document

... models in order to identify the features of herding, while the empirical research only verifies the appearance of a “collective behaviour” on the ...market. In the literature, herding behaviour has become a ... See full document

... to efficiency measurement, SFA and DEA, rely on the concept of efficiency that relates, in a production function, the allocation of scarce resources or inputs to the obtained results or ... See full document

... anomalous from the perspective of efficient markets with rational ...derived from evidence in psychological ...securities, in the sense that they overestimate the ... See full document

... shock in stock prices will generate more volatil- ity than a positive shock of similar ...of stock returns are asymmetric functions of past ...Portuguese Stock Market Index PSI 20 with ... See full document

... We assume that, in order for signaling theory to be valid, the equity raise should have a negative effect on the stock price, in comparison with the time before the an[r] ... See full document

... entries in the joint posterior latent distribution generated by the T + 1 latent ...that in our application T is quite ...entries in the joint posterior distribution is too large to process and store ... See full document

... obtained from the European Commission and they come from seven major pigmeat producing countries: Belgium (BE), Germany (DE), Denmark (DK), Spain (ES), France (FR), Italy (IT), and the Netherlands ... See full document

... when DEA is used to assess efficiency of decision-making units ...criticised in statistical terms. 1 The fact that DEA output scores are likely to be biased, and that the environmental ... See full document

... Predicting stock market prices is far from being a trivial ...characterize stock markets makes very hard and sometimes even impossible to predict what will ...happen in financial ... See full document