Arbeitspapier
Are European Equity Style Indexes Mean Reverting? Testing the Validity of the Efficient Market Hypothesis
The article tests for a random walk in European equity style indexes. After briefly introducing the efficient market hypothesis, equity styles in general and the used statistical techniques (Variance Ratio Test and modified Rescaled Range Test) it is shown that a random walk in European equity style indexes cannot be rejected. At least in the period since the mid 70s, for which this research has been conducted, the weak form efficient market hypothesis seems to hold.
- Sprache
-
Englisch
- Erschienen in
-
Series: IWH Discussion Papers ; No. 193/2004
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
Efficient Market Hypothesis
Variance Ratio Test
Rescaled Range Test
Equity Style Investment
Börsenkurs
Aktienindex
Random Walk
Mean Reversion
Effizienzmarktthese
Schätzung
Westeuropa
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Berneburg, Marian
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
- (wo)
-
Halle (Saale)
- (wann)
-
2004
- Handle
- URN
-
urn:nbn:de:gbv:3:2-5101
- Letzte Aktualisierung
- 10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Berneburg, Marian
- Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
Entstanden
- 2004
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