Market Efficiency in an Irrational World

By R. Ignatius. 2000

348 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/145cdf9c4d8ca5e2f465cb020f7289239ba9b1b1

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In Economics and Econometrics

Citations in the corpus

Restricted Boltzmann machine based stock market trend prediction (2017, neutral): “Later on, the concept called “adaptive efficient” was proposed by Daniel and Titman [14].”
Investor Psychology in Capital Markets: Evidence and Policy Implications (2001, neutral): “Swaminathan both examine total growth measures, as opposed to the sharenormalized measures used by Daniel and Titman. The measures differ only when the firm takes some action which changes share ownership (e.g., a new issue, repurchase, or the equivalent, but not a stock split). Daniel and Titman, f”
Quantifying Cognitive Biases in Analyst Earnings Forecasts (2006, positive): “We show that our measure of overconfidence varies with book-to-market ratio in a way consistent with the findings of Daniel and Titman (1999).”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, neutral): “In fact, Daniel and Titman (1999) have earlier highlighted the possible co-existence of EMH and behavioural finance by introducing the term ‘adaptive efficiency’.”
Cross-Sectional and Time-Series Determinants of Momentum Returns (2002, neutral): “1 See also recent empirical by Chan, Jegadeesh, and Lakonishok (1996, 1999), Daniel and Titman (1999), Haugen (1999), and Hong, Lim, and Stein (1999) for additional discussion of the momentum effect.”
Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (2009, positive): “In an extension of our basic approach, we model the coefﬁcients of the portfolio policy as functions of the term spread ( tsp ), deﬁned as the difference in the yields to maturity of the ten-year Treasury note and the one-year Treasury bill.”