Differential Rates of Return and Residual Information Sets (A Discrete Approach)
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets,"
American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
- Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA.
- Kent Daniel & Sheridan Titman, 2000. "Market Efficiency in an Irrational World," NBER Working Papers 7489, National Bureau of Economic Research, Inc.
- Rodolfo Apreda, 1998. "Dynamic Arbitrage Gaps for Financial Assets," CEMA Working Papers: Serie Documentos de Trabajo. 134, Universidad del CEMA.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- William M. Dugger, 1996. "The Mechanisms of Governance," Journal of Economic Issues, Taylor & Francis Journals, vol. 30(4), pages 1212-1216, December.
- Hart, Oliver, 1995. "Firms, Contracts, and Financial Structure," OUP Catalogue, Oxford University Press, number 9780198288817.
- Rodolfo Apreda, 1999. "Transactionally Efficient Markets, Dynamic Arbitrage and Microstructure," CEMA Working Papers: Serie Documentos de Trabajo. 151, Universidad del CEMA.
- Gonedes, Nicholas J, 1976. "The Capital Market, the Market for Information, and External Accounting," Journal of Finance, American Finance Association, vol. 31(2), pages 611-630, May.
- Rodolfo Apreda, 2000. "A transaction costs approach to financial assets rates of return," CEMA Working Papers: Serie Documentos de Trabajo. 161, Universidad del CEMA.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Rodolfo Apreda, 2001. "Arbitrage Portfolios," CEMA Working Papers: Serie Documentos de Trabajo. 184, Universidad del CEMA.
- Rodolfo Apreda, 2003. "Simple and enlarged separation portfolios. On their Use when Arbitraging and Synthesizing Securities," CEMA Working Papers: Serie Documentos de Trabajo. 233, Universidad del CEMA.
- Rodolfo Apreda, 2002. "Incremental cash flows, information sets and conflicts of interest," CEMA Working Papers: Serie Documentos de Trabajo. 220, Universidad del CEMA.
- Rodolfo Apreda, 2002. "How corporate governance and globalization can run afoul of the law and good practices in business: The Enron's disgraceful affair," CEMA Working Papers: Serie Documentos de Trabajo. 225, Universidad del CEMA.
- Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA.
- Rodolfo Apreda, 2002. "Incremental cash flows, information sets and conflicts of interest," CEMA Working Papers: Serie Documentos de Trabajo. 220, Universidad del CEMA.
- Alexander S. Sangare, 2005. "Efficience des marchés : un siècle après Bachelier," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 107-132.
- Rodolfo Apreda, 2003. "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo. 239, Universidad del CEMA.
- Rodolfo Apreda, 2000. "Differential Rates and Transaction Costs. A toolkit for Practitioners, accountants and financial economists," CEMA Working Papers: Serie Documentos de Trabajo. 166, Universidad del CEMA.
- Radygin Alexandr & Entov Revold & Mejeraoups I., 2007. "External Mechanisms of Corporate Governance," Research Paper Series, Gaidar Institute for Economic Policy, issue 104P.
- Oxelheim, Lars & Rafferty, Michael, 2005.
"On the static efficiency of secondary bond markets,"
Journal of Multinational Financial Management, Elsevier, vol. 15(2), pages 117-135, April.
- Oxelheim, Lars & Rafferty, Michael, 2002. "On the Static Efficiency of Secondary Bond Markets," Working Paper Series 2001/7, Lund University, Institute of Economic Research.
- Oxelheim, Lars & Rafferty, Michael, 2004. "On the Static Efficiency of Secondary Bond Markets," Working Paper Series 623, Research Institute of Industrial Economics.
- Peter G. Klein & Michael E. Sykuta, 2010. "Editors’ Introduction," Chapters, in: Peter G. Klein & Michael E. Sykuta (ed.), The Elgar Companion to Transaction Cost Economics, chapter 1, Edward Elgar Publishing.
- Xianfeng Jiang & Yongdong Shi, 2006. "The Impact of Insider Trading on the Secondary Market with Order-Driven System," Annals of Economics and Finance, Society for AEF, vol. 7(1), pages 129-143, May.
- Thomas Delcey, 2019. "Samuelson vs Fama on the Efficient Market Hypothesis: The Point of View of Expertise [Samuelson vs Fama sur l’efficience informationnelle des marchés financiers : le point de vue de l’expertise]," Post-Print hal-01618347, HAL.
- Foss Kirsten & Foss Nicolai & Klein Peter G. & Klein Sandra K., 2002.
"Heterogeneous Capital, Entrepreneurship, and Economic Organization,"
Journal des Economistes et des Etudes Humaines, De Gruyter, vol. 12(1), pages 1-20, March.
- Nicolai Foss & Kirsten Foss & Peter G. Klein & Sandra K. Klein, "undated". "Heterogeneous Capital, Entrepreneurship, and Economic Organization," IVS/CBS Working Papers 2002-02, Department of Industrial Economics and Strategy, Copenhagen Business School.
- Kirsten Foss & Nicolai J. Foss & Peter G. Klein & Sandra K. Klein, 2002. "Heterogeneous Capital, Entrepreneurship, and Economic Organization," DRUID Working Papers 02-01, DRUID, Copenhagen Business School, Department of Industrial Economics and Strategy/Aalborg University, Department of Business Studies.
- Kim, Jongwook & Mahoney, Joseph T., 2008. "A Strategic Theory of the Firm as a Nexus of Incomplete Contracts: A Property Rights Approach," Working Papers 08-0108, University of Illinois at Urbana-Champaign, College of Business.
- Yok-Yong Lee & M. H. Yahya & A. M. Bany-Ariffin & S. Aslam, 2018. "Leverage Effect and Switching of Market Efficiency Post Goods and Services Tax (GST) Imposition," International Business Research, Canadian Center of Science and Education, vol. 11(3), pages 162-178, March.
- Tetsushi Homma & Yoshiro Tsutsui & Uri Benzion, 2005. "Exchange rate and stock prices in Japan," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 469-478.
- Bernd Hayo & Ummad Mazhar, 2014.
"Monetary Policy Committee Transparency: Measurement, Determinants, and Economic Effects,"
Open Economies Review, Springer, vol. 25(4), pages 739-770, September.
- Bernd Hayo & Ummad Mazhar, 2011. "Monetary Policy Committee Transparency: Measurement,Determinants, and Economic Effects," MAGKS Papers on Economics 201140, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Zhong, Meirui & Zhang, Rui & Ren, Xiaohang, 2023. "The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach," Energy Economics, Elsevier, vol. 123(C).
- Giuseppe Pernagallo & Benedetto Torrisi, 2020.
"A theory of information overload applied to perfectly efficient financial markets,"
Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 14(2), pages 223-236, October.
- Giuseppe Pernagallo & Benedetto Torrisi, 2019. "A Theory of Information overload applied to perfectly efficient financial markets," Papers 1904.03726, arXiv.org.
- Klaus Schredelseker, 2012. "Finanzkrise — Mitschuld der Theorie?," Schmalenbach Journal of Business Research, Springer, vol. 64(8), pages 833-845, December.
- Chen, Yong & Kelly, Bryan & Wu, Wei, 2020. "Sophisticated investors and market efficiency: Evidence from a natural experiment," Journal of Financial Economics, Elsevier, vol. 138(2), pages 316-341.
- Taufiq Choudhry & Ranadeva Jayasekera, 2015. "Level of efficiency in the UK equity market: empirical study of the effects of the global financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 213-242, February.
More about this item
Keywords
Information sets; differential rates of return; transaction costs;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cem:doctra:177. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Valeria Dowding (email available below). General contact details of provider: https://edirc.repec.org/data/cemaaar.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.