Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange
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In this paper, the authors show that Swedish index returns exhibit high autocorrelation after days of above average performance of the stock market, after low absolute returns, when trading volume is low, and following Fridays.Abstract:
In accordance with studies for other markets, Swedish index returns exhibit high autocorrelation, (a) after days of above average performance of the stock market, (b) after low absolute returns, (c) when trading volume is low, and (d) following Fridays. Contrary to the non-synchronous trading and the transaction cost hypotheses, all results extend to individual stock returns. It is concluded that autocorrelation patterns are related to the trading patterns of individual investors, and not the cross-security information processing of the market. In particular, the observed autocorrelation structure corresponds to feedback trading.read more
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Prospect theory: an analysis of decision under risk
Daniel Kahneman,Amos Tversky +1 more
TL;DR: In this paper, the authors present a critique of expected utility theory as a descriptive model of decision making under risk, and develop an alternative model, called prospect theory, in which value is assigned to gains and losses rather than to final assets and in which probabilities are replaced by decision weights.
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Prospect theory: analysis of decision under risk
Daniel Kahneman,Amos Tversky +1 more
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Large sample properties of generalized method of moments estimators
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On the Impossibility of Informationally Efficient Markets
TL;DR: In this paper, the authors propose a model in which there is an equilibrium degree of disequilibrium: prices reflect the information of informed individuals (arbitrageurs) but only partially, so that those who expend resources to obtain information do receive compensation.
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