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Episode #7 - Six Challenges to Market Efficiency
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Kandungan disediakan oleh Dr. Bryan Foltice. Semua kandungan podcast termasuk episod, grafik dan perihalan podcast dimuat naik dan disediakan terus oleh Dr. Bryan Foltice atau rakan kongsi platform podcast mereka. Jika anda percaya seseorang menggunakan karya berhak cipta anda tanpa kebenaran anda, anda boleh mengikuti proses yang digariskan di sini https://ms.player.fm/legal.
In this episode, we explore various market observations that challenge semi-strong market efficiency. Here, we learn about six challenges of market efficiency and discuss the three issues to arbitrage exploitation.
00:00 Introduction
01:40 Exercise in Market Efficiency - Beauty Contest
09:48 Market Efficiency Forms (Strong, Semi-Strong, Weak) Review
12:33 Six Challenges to Market Efficiency (Semi-Strong) - #1 Small/Large Cap Stocks
13:48 Challenge #2 - Value/Growth Stocks
15:40 Challenge #3 - P/E Ratios (Low/High Price to Earnings Ratios)
19:18 Challenge #4 - Negative Earnings Momentum
22:32 Challenge #5 - Momentum Investing
29:55 Challenge #6 - Contrarian Strategy Investing
32:17 Market Efficiency and Arbitrage (Risk-Free Profits)
33:15 Three Issues to Arbitrage Exploitation (Fundamental Risk, Noise Trader Risk and Implementation Costs)
Papers Referenced in Podcast
Dolvin S. & Foltice, B. Using Simple Technical Analysis Indicators for Asset Allocation Decisions. Journal of Wealth Management, 24(3), 31-41 (2021).
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3732822
Foltice, B. & Langer, T. (2015) Profitable momentum trading strategies for individual investors. Financial Markets and Portfolio Management, 29(2), 85-113.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2420743
Dolvin S. & Foltice, B. “Where Has the Trend Gone? An Update on Momentum Returns in the U.S. Stock Market” with Steven Dolvin. Journal of Wealth Management, 20(2), 29-40 (2017).
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2813333
I hope you enjoy the content and learn all about the topic of Behavioral Finance. I've set up the first few podcasts as mini lectures of my Behavioral Finance course that I teach at Butler University each semester. The goal of this podcast is to provide a comprehensive look into the topic of Behavioral Finance - for free!
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