...Journal of Financial Economics 49 (1998) 283—306 Market efficiency, long-term returns, and behavioral finance Eugene F. Fama* Graduate School of Business, University of Chicago, Chicago, IL 60637, USA Received 17 March 1997; received in revised form 3 October 1997 Abstract Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market efficiency prediction that apparent anomalies can be due to methodology, most long-term return anomalies tend to disappear with reasonable changes in technique. 1998 Elsevier Science S.A. All rights reserved. JEL classification: G14; G12 Keywords: Market efficiency; Behavioral finance 1. Introduction Event studies, introduced by Fama et al. (1969), produce useful evidence on how stock prices respond to information. Many studies focus on returns in a short window (a few days) around a cleanly dated event. An advantage of this approach is that because daily expected returns are close to zero, the model for expected returns does not have a big effect on inferences about abnormal returns. * Corresponding author. Tel.: 773 702 7282; fax: 773 702 9937; e-mail: eugene.fama@gsb.uchicago. edu. The comments...
Words: 11234 - Pages: 45
...Journal of Financial Economics 49 (1998) 283—306 Market efficiency, long-term returns, and behavioral finance Eugene F. Fama* Graduate School of Business, University of Chicago, Chicago, IL 60637, USA Received 17 March 1997; received in revised form 3 October 1997 Abstract Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market efficiency prediction that apparent anomalies can be due to methodology, most long-term return anomalies tend to 1998 Elsevier Science S.A. All rights disappear with reasonable changes in technique. reserved. JEL classification: G14; G12 Keywords: Market efficiency; Behavioral finance 1. Introduction Event studies, introduced by Fama et al. (1969), produce useful evidence on how stock prices respond to information. Many studies focus on returns in a short window (a few days) around a cleanly dated event. An advantage of this approach is that because daily expected returns are close to zero, the model for expected returns does not have a big effect on inferences about abnormal returns. * Corresponding author. Tel.: 773 702 7282; fax: 773 702 9937; e-mail: eugene.fama@gsb.uchicago. edu. The comments of Brad Barber, David...
Words: 11234 - Pages: 45
...ISSN 1725-2423 Official Journal of the European Union English edition C 306 Volume 50 17 December 2007 Information and Notices Contents Notice No 2007/C 306/01 Page Treaty of Lisbon amending the Treaty on European Union and the Treaty establishing the European Community, signed at Lisbon, 13 December 2007 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AMENDMENTS TO THE TREATY ON EUROPEAN UNION AND TO THE TREATY ESTABLISHING THE EUROPEAN COMMUNITY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Article 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Article 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 10 10 42 FINAL PROVISIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134 Article 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ...
Words: 90918 - Pages: 364
...Abstract This paper is to discuss the implications of developing countries. The developing world has implications in the overall economic prosperity. Globally, it is reported that the top 1 percent of income recipients receive about 15 percent of worldwide income, and the top 5 percent receive 40 percent of all income. Meanwhile, the poorest 20 percent receive only 1 percent of the global income. This paper attempts to unlock the significant factors that affect income inequality. In 1963, Simon Kuznets derived the inverted U hypothesis from which he inferred that through the course of development, as per capita income increases, initially, income inequality will increase before it starts to improve. In this paper, I will be using data on 61 countries, an inverted u pattern is found. The labor surplus model supports that the share of labor in industry and high population growth rates explain the inverted U. Economic Disparity Economic growth refers to a rise in national per capita income and product. However, economic growth does not mean that there is improvement in mass living standards. It can be a result of increase of wealth for the rich while the poor have less or no improvement in their living standards (Gillis, 70). This uneven distribution of income is referred to as income inequality. There is much income inequality existing in individual...
Words: 1408 - Pages: 6
...Air Asia – Strategic IT Initiative Submitted by: Charles Kho Sandy Hofman Aruan Christian Tjitrahardja Ramaratnam Narayanaswamy Faculty of Economics and Commerce University of Melbourne 2005 306-669 Strategic Enterprise Systems Group Project Executive Summary IT is one of the major enablers of AirAsia’s successful low cost business model. Based on the environmental scanning performed, the demand for Low Cost Carrier (LCC) is expected to expand rapidly attracting more players to join the market thus increasing the degree of rivalry within the industry. In responding to this condition, it is imperative for AirAsia to continuously identify new sources of cost advantage so that it can provide the lowest possible price to the price sensitive customer and improve its market position. In this project, Advanced Planning and Scheduling (APS) system is recommended as the new source of AirAsia’s cost advantages. Using Venkatraman and Henderson’s model APS fits smoothly to the Technology Transformation Perspective where business strategy acts as a driver. The functionalities provided by APS system to improve AirAsia’s performance include event management technology, supplier portals, inventory planning, demand forecasting, maintenance management, and route profitability analysis. As a result of implementing APS system, AirAsia can obtain both strategic and operational benefits. AirAsia is strongly recommended to outsource the development of APS system. As project management...
Words: 7114 - Pages: 29
...Air Asia – Strategic IT Initiative Submitted by: Charles Kho Sandy Hofman Aruan Christian Tjitrahardja Ramaratnam Narayanaswamy Faculty of Economics and Commerce University of Melbourne 2005 306-669 Strategic Enterprise Systems Group Project Executive Summary IT is one of the major enablers of AirAsia’s successful low cost business model. Based on the environmental scanning performed, the demand for Low Cost Carrier (LCC) is expected to expand rapidly attracting more players to join the market thus increasing the degree of rivalry within the industry. In responding to this condition, it is imperative for AirAsia to continuously identify new sources of cost advantage so that it can provide the lowest possible price to the price sensitive customer and improve its market position. In this project, Advanced Planning and Scheduling (APS) system is recommended as the new source of AirAsia’s cost advantages. Using Venkatraman and Henderson’s model APS fits smoothly to the Technology Transformation Perspective where business strategy acts as a driver. The functionalities provided by APS system to improve AirAsia’s performance include event management technology, supplier portals, inventory planning, demand forecasting, maintenance management, and route profitability analysis. As a result of implementing APS system, AirAsia can obtain both strategic and operational benefits. AirAsia is strongly recommended to outsource the development of APS system. As project management...
Words: 7166 - Pages: 29
...Air Asia – Strategic IT Initiative Submitted by: Charles Kho Sandy Hofman Aruan Christian Tjitrahardja Ramaratnam Narayanaswamy Faculty of Economics and Commerce University of Melbourne 2005 306-669 Strategic Enterprise Systems Group Project Executive Summary IT is one of the major enablers of AirAsia’s successful low cost business model. Based on the environmental scanning performed, the demand for Low Cost Carrier (LCC) is expected to expand rapidly attracting more players to join the market thus increasing the degree of rivalry within the industry. In responding to this condition, it is imperative for AirAsia to continuously identify new sources of cost advantage so that it can provide the lowest possible price to the price sensitive customer and improve its market position. In this project, Advanced Planning and Scheduling (APS) system is recommended as the new source of AirAsia’s cost advantages. Using Venkatraman and Henderson’s model APS fits smoothly to the Technology Transformation Perspective where business strategy acts as a driver. The functionalities provided by APS system to improve AirAsia’s performance include event management technology, supplier portals, inventory planning, demand forecasting, maintenance management, and route profitability analysis. As a result of implementing APS system, AirAsia can obtain both strategic and operational benefits. AirAsia is strongly recommended to outsource the development of APS system. As project management...
Words: 7114 - Pages: 29
...Table of contents 1. Research 360 degree feedback? …………………………………… 2 2.1 What is 360 degree feedback? ……………………………………… 2 2.2 What is 360 degree feedback intended to do? ……………………. 2 2.3.1 For individuals……………………………………………… 2 2.3.2 For organization ……………………………………………. 3 2. Analysing how heuristic, personality and social factors may affect the effectiveness of 360 degree feedback …………………………………. 3 2.1 Heuristic …………………………………………………………. 3 2.1.1 Confirmation ……………………………………………… 3 2.1.2 Representativeness ………………………………………… 4 2.2 Personalities ……………………………………………………. 4 2.2.1 Neuroticism ………………………………………………… 4 2.2.2 Conscientiousness …………………………………………. 5 2.3 Social Factors ………………………………………………….. 6 2.3.1 Interpersonal liking ………………………………………. 6 2.3.2 Referent power ……………………………………………… 6 3. References list ………………………………………………………. 7 1. Research 360 degree feedback 1.1 What is 360 degree feedback? 360 degree feedback is characterized as a multi-source feedback. Feedback comes from people, who work around with ratees, involving supervisors, colleagues, subordinates, internal and external customers as well as ratees. It is used in human resources management for different purposes such like decision making relating to rewards, performance evaluation, and employee development. Furthermore, it is valuable...
Words: 2054 - Pages: 9
...Final Project Proposal This paper aims to explore how humor, a site of construction of gender identity and power relation, is employed by both males and females to negotiate their power relations and either subvert or confirm their gender roles. I believe this topic is of particular interest because though a number of studies have been conducted to examine the relation between gender practice and occupational practice, and ways of constructing gender roles via humor. Concentration is rarely deployed on humor use by males and females at workplace. This review is important because there is a growing number of female practitioners participating in different sectors and industries. They are frequently confronted with paradoxical situations of their gender role of feminity and their professional competence and leadership, usually tagged with masculinity. This paper will offer some insights to professional females about how they can resolve such paradoxes at their workplace through the employment of humor. Besides, this topic is of particular interest because it can be seen through the review of the body of literature, that the meaning and effect of humor, as a linguistic means can never be captured nicely. It can have different functions in different context, which is in accordance with the “ambiguity” and “polysemy”put forward by Tannen (1993), so this paper will probes into the fluidity and ambivalency of this linguistic means. Moreover, one big context in this review...
Words: 1195 - Pages: 5
...Evidence Tracking Properly handling evidence is critical to crime solving, improper deviations to the handling can make it impossible to prosecute using the evidence collected. This paper will outline will track the evidence from a chosen crime scene through all the proper handling processes. This paper will describe the chosen crime scene scenario, describe the collected evidence and proper collection, recording of the evidence, chain of evidence, processing, interpretation methods, preservation of the evidence, proper presentation methods for different types of evidence, and the consequences of mishandling the evidence collected. The Crime and Processing Protocols The chosen crime scene scenario is a sexual assault; the first responding officer will have been notified of a possible rape and traveled to an apartment complex at 306 Timber Road, Apartment 12-B to investigate. Upon arrival, the first crime scene procedure is to make sure the crime scene is safe and the possible offender has been arrested or is no longer on the scene. If the struggle were still occurring, this would be the point to render aid. The next procedure would be to determine the extent of the crime and to secure the scene from intrusion to preserve any evidence. It is important for the responding officer to keep their superiors informed of their activities. At this point the responding officer will touch nothing and document all of their observations and actions, if the scene had been disturbed in any...
Words: 1515 - Pages: 7
...Case Study 2—Internal Control Due by Sunday of Week 5, 11:59 p.m., mountain time LJB Company, a local distributor, has asked your accounting firm to evaluate their system of internal controls because they are planning to go public in the future. The president wants to be aware of any new regulations required of his company if they go public, so he met with a colleague of yours at a local restaurant. The president of the company explained the current system of internal controls to your colleague. Your colleague has since been promoted to a tax position so she has passed on the information below so you can generate recommendations for the partner at your accounting firm to share with the president of LJB Company. Since LJB Company is a relatively lean organization, they have a lot of faith in their long-term employees. They have one accountant who serves as treasurer and controller, which streamlines many of their processes. In this dual role, he purchases all of the supplies and pays for these purchases. He also receives the checks and completes the monthly bank reconciliation. The accountant is so busy that the company handles petty cash a bit differently. All employees have access to the petty cash in a desk drawer and are asked to only place a note if they use any of the cash. The accountant has recently started using pre-numbered invoices and wants to buy an indelible ink machine to print their checks. The president is waiting to hear from you if this is a necessary...
Words: 1283 - Pages: 6
...Case Study 2—Internal Control Due by Sunday of Week 5, 11:59 p.m., mountain time LJB Company, a local distributor, has asked your accounting firm to evaluate their system of internal controls because they are planning to go public in the future. The president wants to be aware of any new regulations required of his company if they go public, so he met with a colleague of yours at a local restaurant. The president of the company explained the current system of internal controls to your colleague. Your colleague has since been promoted to a tax position so she has passed on the information below so you can generate recommendations for the partner at your accounting firm to share with the president of LJB Company. Since LJB Company is a relatively lean organization, they have a lot of faith in their long-term employees. They have one accountant who serves as treasurer and controller, which streamlines many of their processes. In this dual role, he purchases all of the supplies and pays for these purchases. He also receives the checks and completes the monthly bank reconciliation. The accountant is so busy that the company handles petty cash a bit differently. All employees have access to the petty cash in a desk drawer and are asked to only place a note if they use any of the cash. The accountant has recently started using pre-numbered invoices and wants to buy an indelible ink machine to print their checks. The president is waiting to hear from you if this is a necessary...
Words: 1283 - Pages: 6
...will be delivered to the American people. It requires transforming the health care system to meet new challenges such as, quality, affordable and safe care that will require the roles of health care professionals, including nurses, roles to be reevaluated ("Health Care Reform," 2015). With that said, the Institution of Medicine (IOM) released a report in 2010 that states, “nurses’ roles, responsibilities, and education should change significantly to meet the increased demand for care that will be created by health care reform and to advance improvements in America’s increasingly complex health system” ("Health Care Reform," 2015, p. 1). The 2010 IOM report has great impact in the nursing field that will promote positive changes. In this paper I will discuss the impact of the IOM report on nursing education, nurse’s role as a leader, and nursing practice, particularly in primary care. Lastly, an explanation of how one can change their current practice to meet the goals of the IOM report will be discussed. The IOM report calls for nurses to achieve higher levels of education. One of the impacts to nursing education is the goal of increasing the percentage of nurses with a bachelor’s of science in nursing (BSN) to 80 percent by 2020 ("The Future of Nursing," 2011). In order to achieve the 80 percent goal, the nursing curricula needs to be reexamined and the education pathway needs to be a seamless road with financial incentive to promote nurses to pursue education. Currently the...
Words: 1471 - Pages: 6
...Author/Editor: R. Glenn Hubbard, editor Volume Publisher: University of Chicago Press, 1990 Volume ISBN: 0-226-35585-3 Volume URL: http://www.nber.org/books/glen90-1 Conference Date: May 5, 1989 Publication Date: January 1990 Chapter Title: Investment, Financial Factors, and Cash Flow: Evidence from U.K. Panel Data Chapter Author: Michael Devereux, Fabio Schiantarelli Chapter URL: http://www.nber.org/chapters/c11476 Chapter pages in book: (p. 279 - 306) 11 Investment, Financial Factors, and Cash Row: Evidence from U.K. Panel Data Michael Devereux and Fabio Schiantarelli 11.1 Introduction Most empirical models of company investment rely on the assumption of perfect capital markets. One implication of this assumption is that, in a world without taxes, firms are indifferent to funding their investment programs from internal or external funds. However, there is a rapidly growing body of literature examining the possible existence of imperfections in capital markets and their effects on firms' financial and real decisions. In this paper we provide some econometric evidence on the impact of financial factors like cash flow, debt, and stock measures of liquidity on the investment decisions of U.K. firms. These variables are introduced via an extension of the Q model of investment, which explicitly includes agency costs. We discuss whether the significance of cash flow is due to the fact that it proxies for output or because it is a better measure of market fundamentals than Q...
Words: 5150 - Pages: 21
...Behavioural Finance Martin Sewell University of Cambridge February 2007 (revised April 2010) Abstract An introduction to behavioural finance, including a review of the major works and a summary of important heuristics. 1 Introduction Behavioural finance is the study of the influence of psychology on the behaviour of financial practitioners and the subsequent effect on markets. Behavioural finance is of interest because it helps explain why and how markets might be inefficient. For more information on behavioural finance, see Sewell (2001). 2 History Back in 1896, Gustave le Bon wrote The Crowd: A Study of the Popular Mind, one of the greatest and most influential books of social psychology ever written (le Bon 1896). Selden (1912) wrote Psychology of the Stock Market. He based the book ‘upon the belief that the movements of prices on the exchanges are dependent to a very considerable degree on the mental attitude of the investing and trading public’. In 1956 the US psychologist Leon Festinger introduced a new concept in social psychology: the theory of cognitive dissonance (Festinger, Riecken and Schachter 1956). When two simultaneously held cognitions are inconsistent, this will produce a state of cognitive dissonance. Because the experience of dissonance is unpleasant, the person will strive to reduce it by changing their beliefs. Pratt (1964) considers utility functions, risk aversion and also risks considered as a proportion of total assets...
Words: 4442 - Pages: 18
