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Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis
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Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis (2003)Using a Stochastic Complexity Measure to …Efficient Capital Markets: II (1991)Efficient Capital Markets: IIEmergence of statistically validated financial intraday lead-lag relationships (2015)Emergence of statistically va…Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm (2008)Measuring the Efficiency of t…Algorithmic complexity theory and the relative efficiency of financial markets (2008)Algorithmic complexity theory…A General Equilibrium Approach To Monetary Theory (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)The Kappa Statistic in Reliability Studies: Use, Interpretation, and Sample Size Requirements (2005)Can social microblogging be used to forecast intraday exchange rates? (2013)A statistical test of market efficiency based on information theory (2023)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)
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References

  • 1991Efficient Capital Markets: II5,346 cited

Cited by

  • 2015Emergence of statistically validated financial intraday lead-lag relationships83 cited
  • 2008Algorithmic complexity theory and the relative efficiency of financial markets33 cited
  • 2008Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm29 cited

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