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

Sergio Bianchi, Augusto Pianese (), Massimiliano Frezza () and Anna Maria Palazzo ()
Additional contact information
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

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021, pp 95-101 from Springer

Abstract: 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.

Keywords: Market Efficiency; Over/Underreaction; Pointwise Regularity (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78965-7_15

Ordering information: This item can be ordered from
http://www.springer.com/9783030789657

DOI: 10.1007/978-3-030-78965-7_15

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().