- Presenter
- Date
- Thursday 15 Apr 2021, 16:00 - 17:00
- Type
- Seminar
- Location
Zoom
- Ticket information
Please contact principe@ese.eur.nl for the link to this seminar.
The joint-hypothesis problem casts doubt on the results of market efficiency research. To address this issue, we study price formation in a large virtual asset market where fundamentals are fixed, predetermined, and publicly known.
Abstract
We find that a number of empirically well-established determinants of returns, such as factor-mimicking portfolios, investor sentiment, and attention, are important determinants of returns in this market, whereas the market beta is not. The magnitude of the results suggests that prices in real financial markets include a substantial behavioral component, which is likely underestimated in canonical asset pricing tests.
- More information
The ECASE team
Jan van Ours, Thomas Peeters, Stefan Szymanski, Francesco Principe and Sam Hoey- Related links
- Erasmus Centre for Applied Sports Economics (ECASE)