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Stochastic Dominance in the Outer Distributions of the $$\alpha $$ α -Efficiency Domain

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Sergio Bianchi

    (Sapienza University of Rome)

  • Augusto Pianese

    (University of Cassino and Southern Lazio)

  • Massimiliano Frezza

    (University of Cassino and Southern Lazio)

  • Anna Maria Palazzo

    (University of Cassino and Southern Lazio)

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 $$\alpha $$ α -efficiency, we document the presence of stochastic dominance in the conditional distributions of mean log-price variations.

Suggested Citation

  • Sergio Bianchi & Augusto Pianese & Massimiliano Frezza & Anna Maria Palazzo, 2021. "Stochastic Dominance in the Outer Distributions of the $$\alpha $$ α -Efficiency Domain," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 95-101, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-78965-7_15
    DOI: 10.1007/978-3-030-78965-7_15
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