Measuring excess-predictability of asset returns and market efficiency over time

DOI10.1016/J.ECONLET.2018.12.022MaRDI QIDQ1714092zbMATH OpenOpenAlexWikidataFDO

Authors Richard Levich, Thomas Conlon, Valerio Potì

Publication date 31 January 2019

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2018.12.022

zbMATH Keywords

market efficiencypredictability boundsreturn predictability

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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Cites work

• A new tight and general bound on return predictability

Cited in

(5)

• A new tight and general bound on return predictability
• Measuring and monitoring the efficiency of markets
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
• A PRACTICAL ALGORITHM TO DETECT SUPEREXPONENTIAL BEHAVIOR IN FINANCIAL ASSET PRICE RETURNS
• Market Timing and Predictability in FX Markets

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