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2016

Portfolio and Security Analysis

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Full-Text Articles in Business

Do Credit Ratings Matter? An Examination Of The Relationship Between Sovereign Ratings And Capital Flows Pre And Post Financial Crisis, Greg Violante Dec 2016

Do Credit Ratings Matter? An Examination Of The Relationship Between Sovereign Ratings And Capital Flows Pre And Post Financial Crisis, Greg Violante

Economics Department Student Scholarship

This paper examines the relationship between sovereign credit ratings and international capital flows to emerging market economies (EMEs). More specifically, it analyzes how ratings impact capital flows (FDI and portfolio investment) before and after the 2007-2008 financial crisis. This study breaks the data into two samples, pre-crisis (1995-2006), and the post crisis (2007-2015). After using a System GMM method for 20 EMEs, the paper compares the pre- and post- financial crisis credit rating coefficients. The results indicate that the ratings have become more impactful overtime, for both FDI and portfolio investment, although the coefficients are not statistically different. Interestingly however, …

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Limited Attention, Marital Events And Hedge Funds, Yan Lu, Sugata Ray, Melvyn Teo Dec 2016

Limited Attention, Marital Events And Hedge Funds, Yan Lu, Sugata Ray, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event. Busy managers who manage multiple funds and who are not part of a team are more affected by marital transitions. Inattentive managers place fewer active bets relative to their style peers, load more on index stocks, exhibit higher R-squareds with respect to systematic factors, and are more prone to the disposition effect.

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Public Hedge Funds, Lin Sun, Melvyn Teo Dec 2016

Public Hedge Funds, Lin Sun, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Hedge funds managed by listed firms significantly underperform funds managed by unlisted firms. The underperformance is more severe for funds with low manager deltas, poor governance, and no manager co-investment, or managed by firms whose prices are sensitive to earnings news. Notwithstanding the underperformance, listed firms raise more capital and harvest greater fee revenues than do comparable unlisted firms. The results cannot be explained by endogeneity, backfill bias, serial correlation, or manager manipulation, and are consistent with the view that, for asset management firms, going public weakens the alignment between ownership, control, and investment capital, thereby engendering conflicts of interest.

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Federal Home Loan Bank Advances And Bank And Thrift Holding Company Risk: Evidence From The Stock Market, Scott Deacle, Elyas Elyasiani Oct 2016

Federal Home Loan Bank Advances And Bank And Thrift Holding Company Risk: Evidence From The Stock Market, Scott Deacle, Elyas Elyasiani

Business and Economics Faculty Publications

Using bivariate GARCH models of stock portfolio returns and risk, we find that bank and thrift holding companies that relied the most on Federal Home Loan Bank (FHLB) advances exhibited less total risk and market risk than those that relied on them the least between 2001 and 2012. When we control for differences in holding company size, stock trading volume, residential mortgage lending, and holding company type (bank vs. thrift), the most FHLB-reliant holding companies sustain the aforesaid risk advantages except during the crisis of 2007–2009, when they exhibit greater idiosyncratic risk. The latter finding suggests that investors perceived the …

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An Examination Of The Efficacy Of Christian-Based Socially Responsible Investment Funds, Richard Stultz Sep 2016

An Examination Of The Efficacy Of Christian-Based Socially Responsible Investment Funds, Richard Stultz

Doctoral Dissertations and Projects

This applied doctoral research project examined the efficacy of Christian-based socially responsible investment funds. The researcher performed quantitative analysis of the risk-adjusted yields of the funds as compared to the S&P 500 Index as well as other types of socially responsible investment funds to accomplish this task. The timeframe for the study was 1995 to 2015. An examination of the differences in the performance of funds within the Christian-based category was also completed. Overall, the Christian-based funds underperformed the S&P 500 Index. The difference was statistically significant at the α = .10 level for each time period (i.e., 1-, 3-, …

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Feats And Failures Of Corporate Credit Risk, Stock Returns, And The Interdependencies Of Sovereign Credit Risk, Uche C. Isiugo Aug 2016

Feats And Failures Of Corporate Credit Risk, Stock Returns, And The Interdependencies Of Sovereign Credit Risk, Uche C. Isiugo

University of New Orleans Theses and Dissertations

This dissertation comprises two essays; the first of which investigates sovereign credit risk interdependencies, while the second examines the reaction of corporate credit risk to sovereign credit risk events. The first essay titled, Characterizing Sovereign Credit Risk Interdependencies: Evidence from the Credit Default Swap Market, investigates the relationships that exist among disparate sovereign credit default swaps (CDS) and the implications on sovereign creditworthiness. We exploit emerging market sovereign CDS spreads to examine the reaction of sovereign credit risk to changes in country-specific and global financial factors. Utilizing aVAR model fitted with DCC GARCH, we find that comovements of spreads …

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Does Beating Cash Flow Benchmarks Reduce The Cost Of Debt?, Mauricio A. Melgarejo Jul 2016

Does Beating Cash Flow Benchmarks Reduce The Cost Of Debt?, Mauricio A. Melgarejo

Mauricio Melgarejo

This paper examines whether beating previous year cash flow values and analysts' cash flow forecasts impact the firms' cost of debt. Creditors are expected to be more concerned about firm solvency than firm profitability. Accordingly, if lenders have any reference point it may be related to cash flow numbers. This study finds that firms that beat analysts' cash flow forecasts have smaller initial bond yield spreads in the next period and a decrease in their initial bond yield spreads between consecutive periods. This effect is more pronounced at short maturities and for observations with less informative earnings. Firms with lower …

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Have We Solved The Idiosyncratic Volatility Puzzle?, Kewei Hou, Roger Loh Jul 2016

Have We Solved The Idiosyncratic Volatility Puzzle?, Kewei Hou, Roger Loh

Research Collection Lee Kong Chian School Of Business

We propose a simple methodology to evaluate a large number of potential explanations for the negative relation between idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing explanations explain less than 10% of the puzzle. On the other hand, explanations based on investors’ lottery preferences, short-term return reversal, and earnings shocks show greater promise in explaining the puzzle. Together they account for 60-80% of the negative idiosyncratic volatility-return relation. Our methodology can be applied to evaluate competing explanations for a broad range of topics in asset pricing and corporate finance.

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The Impact Of Nasd Rule 2711 And Nyse Rule 472 On Analyst Behavior: The Strategic Timing Of Recommendations Issued On Weekends, Yi Dong, Nan Hu Jul 2016

The Impact Of Nasd Rule 2711 And Nyse Rule 472 On Analyst Behavior: The Strategic Timing Of Recommendations Issued On Weekends, Yi Dong, Nan Hu

Research Collection School Of Computing and Information Systems

Amendments to NASD Rule 2711 and NYSE Rule 472, enacted in May 2002, mandate that sell-side analysts disclose the distribution of their security recommendations by buy, hold and sell category. This regulation enhances the transparency of analysts' information and mitigates the long-recognized optimistic bias in their recommendations. However, we find that analysts are more likely to issue sell recommendations or downgrade revisions on weekends when investors have limited attention after these rule changes. This pattern is more pronounced for prestigious analysts, who are more likely to influence stock prices. Market reaction tests reveal an incomplete immediate response and a greater …

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Building And Testing A Portfolio Of Marijuana Stocks: Why U.S. Sec Trading Suspensions Might Cause Some To Crash Before (Or After) Reaching New High, Anthony J. Cataldo Ii, Thomas Miller, Glenn S. Soltis, Brian J. Halsey Jun 2016

Building And Testing A Portfolio Of Marijuana Stocks: Why U.S. Sec Trading Suspensions Might Cause Some To Crash Before (Or After) Reaching New High, Anthony J. Cataldo Ii, Thomas Miller, Glenn S. Soltis, Brian J. Halsey

Brian Halsey

No abstract provided.

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Down-Side Risk Metrics As Portfolio Diversification Strategies Across The Global Financial Crisis, David E. Allen, Michael Mcaleer, Robert J. Powell, Abhay Kumar Singh Jun 2016

Down-Side Risk Metrics As Portfolio Diversification Strategies Across The Global Financial Crisis, David E. Allen, Michael Mcaleer, Robert J. Powell, Abhay Kumar Singh

Research outputs 2014 to 2021

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in U.S. dollar terms, on a set of ten market indices representing the major European markets for a nine-year period from the beginning of 2005 to the end of 2013. The sample period, which incorporates the periods of both the Global Financial Crisis (GFC) and the subsequent European Debt Crisis (EDC), is a challenging one for the …

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The Benefits Of Global Diversification, David J. Tassone May 2016

The Benefits Of Global Diversification, David J. Tassone

Honors Thesis

International diversification reduces total risk to a portfolio by adding uncorrelated assets and brings higher long-term returns. In this study, the research looks to see if any single country index or continent index consistently outperforms a diversified value-weighted global market index. In order to value-weight the global index, the study uses the International Monetary Fund’s voting shares of each country and equates each voting share to each country or continent’s stake within the value-weighted global market index. To correct for currency exchange, the study uses iShares and other ETFs denoted in the United States Dollar. The value-weighted global market index …

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Strategic Asset Allocation For Fixed Income And Fixed Income-Like Securities In Anticipation Of A Bear Market, Ngoc B. Phan May 2016

Strategic Asset Allocation For Fixed Income And Fixed Income-Like Securities In Anticipation Of A Bear Market, Ngoc B. Phan

Finance Undergraduate Honors Theses

In a market contraction, it is often beneficial to actively manage fixed income and fixed income-like portfolio via strategic asset allocation. Many fixed income securities tend to outperform equities during market contractions owing to their fixed payment streams, lower volatility, and higher position in capital structure. This study seeks to estimate a set of optimal asset allocation portfolios in anticipation of recessions empirically using historic inflation-adjusted data. I apply mean-variance optimization to find optimal portfolio mix, discuss investors of different risk levels and discuss performance of portfolios in growth, recession and long-term periods.

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The Millennial Investor: Mutual Funds Versus Exchange Traded Funds, Terrell Mclendon May 2016

The Millennial Investor: Mutual Funds Versus Exchange Traded Funds, Terrell Mclendon

Finance Undergraduate Honors Theses

This research paper seeks to understand the Millennial investor. The distinct purpose of this research is to determine if Millennials in the U.S., specifically those ages 25 to 35, prefer investing in exchange traded funds to mutual funds. Additionally, this research seeks to discern if these Millennials prefer investing online to working with a personal financial advisor. Secondary research was utilized extensively to compile a review of existing literature on the topics of the Millennial generation, mutual funds, exchange traded funds, personal financial brokers, and online investing sites. Primary research was completed through a questionnaire survey to gather new data …

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Financial Performance In Upstream, Downstream, And Integrated Oil Companies In Response To Oil Price Volatility, Jonathan P. Garcia May 2016

Financial Performance In Upstream, Downstream, And Integrated Oil Companies In Response To Oil Price Volatility, Jonathan P. Garcia

Finance Undergraduate Honors Theses

This paper investigates the relation between crude oil price volatility and stock returns among oil companies using a three-part methodology, by using the West Texas Intermediate (WTI) as oil price benchmark. I asses the various indicators that set signals for oil price volatility and the interpretation of each (PMI, S&P500, DJIA, and World Crude Oil Output). This research also focuses on the relation between different types of companies in the oil industry (integrated, upstream, and downstream) and how each type of company will be assessed in a particular way to predict abnormal returns, based on market data and statistical analyses …

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The Taper Tantrum Of 2013: Momentum-Driven Or A Return To Fundamentals?, Colette L. Terhune May 2016

The Taper Tantrum Of 2013: Momentum-Driven Or A Return To Fundamentals?, Colette L. Terhune

Finance Undergraduate Honors Theses

This study explores the driving force behind the Taper Tantrum of 2013. Following the Fed’s announcements of potential QE tapering, investors poured of the bond market, causing yields to rise sharply. This analysis seeks to determine whether this was a momentum-driven reaction or a return to fundamental values. Throughout this paper, fundamental determinants of bond prices and investor returns are combined with trading volume and bid-ask spread data to determine the motivating market force. The findings suggest that the Taper Tantrum was a return to fundamental bond prices following an asset bubble burst, likely due to momentum trading.

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Correlation Between Shareholder Concentration And Firm Performance With Regard To Midcap Companies, Wynn Lemmons May 2016

Correlation Between Shareholder Concentration And Firm Performance With Regard To Midcap Companies, Wynn Lemmons

Finance Undergraduate Honors Theses

The research herein explores the correlation between performance and shareholder concentration. This paper compares the performance of a group of companies with a single shareholder stake of over 10% from the universe of the S&P 400 Midcap Index to the performance of the index itself over a period of eight years (January 1, 2009 to January 1, 2016). When run as a simulated portfolio, the group selected generated a slight amount of positive alpha, but the results were ultimately statistically insignificant.

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The Microstructure Behavior Of Sgx Nikkei 225 Index Futures Resulting From Component Changes Of The Underlying Cash Market Index, Charlie Charoenwong, David K. Ding, Vasan Siraprapasiri May 2016

The Microstructure Behavior Of Sgx Nikkei 225 Index Futures Resulting From Component Changes Of The Underlying Cash Market Index, Charlie Charoenwong, David K. Ding, Vasan Siraprapasiri

Research Collection Lee Kong Chian School Of Business

We study the effect of changes involving component stocks of the Nikkei 225 stock index on the behavior of the Nikkei 225 index futures. Specifically, we examine the effects of component changes of the Nikkei 225 on the volume, returns, volatility, and bid-ask spreads (BAS) on its corresponding futures contract traded on the Singapore Exchange (SGX). We find that trading volume increases and the bid-ask spread decreases but there is no significant change in the returns of the SGX Nikkei 225 index futures after a component change takes place. This does not support the Price Pressure Hypothesis, which states that …

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Why Hedge? Extent, Nature, And Determinants Of Derivative Usage In U.S. Municipalities, Saleha Khumawala, Ranasinghe, Tharindra, Claire J. Yan May 2016

Why Hedge? Extent, Nature, And Determinants Of Derivative Usage In U.S. Municipalities, Saleha Khumawala, Ranasinghe, Tharindra, Claire J. Yan

Research Collection School Of Accountancy

Using a hand-collected dataset of over 300 observations of large U.S. cities and counties, this paper investigates the extent, nature and determinants of derivatives usage in the municipal sector. Over half of our sample entities engage in derivative transactions and a vast majority of these transactions are intended to manage interest rate risk. Swaps, by far, are the most popular derivative instrument. In terms of the determinants of derivative usage, we find that the propensity to use derivatives as well as the extent of derivative usage is higher for municipalities that are larger and more financially constrained. We do not …

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Trading Ahead Of Bad News: Evidence From Short-Sales Of Stocks And The Options Market, Nicholas E. Macksoud Apr 2016

Trading Ahead Of Bad News: Evidence From Short-Sales Of Stocks And The Options Market, Nicholas E. Macksoud

Business and Economics Honors Papers

Throughout the past ten years, the United States Environmental Protection Agency (EPA) has issued hundreds of enforcement actions in the electric, natural gas, and petroleum industries. The vast majority of these citations have been violations of environmental statutes, notably the Clean Air Act (CAA) and the Clean Water Act (CWA). My research evaluates the timing of informed investors’ actions pertaining to the public release of these EPA announcements. Since informed traders have much more leverage in the options market, there seems likely to be a concentration of abnormal put option activity shortly before the time in which the announcements reach …

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Cost Of Debt And Federal Home Loan Bank Funding At U.S. Bank And Thrift Holding Companies, Scott Deacle, Elyas Elyasiani Apr 2016

Cost Of Debt And Federal Home Loan Bank Funding At U.S. Bank And Thrift Holding Companies, Scott Deacle, Elyas Elyasiani

Business and Economics Faculty Publications

We investigate the relationship between the cost of debt issued by bank holding companies (BHCs) and thrift holding companies (THCs) and their use of Federal Home Loan Bank (FHLB) advances. Cost of debt is used as a measure of bank riskiness for the first time in a FHLB study. A two-equation model of FHLB advances and cost of debt is estimated. Three main results are obtained. First, greater reliance on advances by BHCs and THCs is associated with lower cost of debt in the pre-crisis period, and more strongly so during the crisis, because granting of advances sends a positive …

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Refining The Prize: Chinese Oil Refineries And Its Energy Security, Inwook Kim Apr 2016

Refining The Prize: Chinese Oil Refineries And Its Energy Security, Inwook Kim

Research Collection School of Social Sciences

Since China became a net oil importer in 1993, oil refineries have played integral roles in China's quest for oil security. And yet, the capacity, security, and configurations of refineries were rarely featured in the discussions about China's oil policy. To fill this gap, this paper explains the basics of refinery economics and technology, and details the development in China's refining industry since the early 1990s. By taking refineries into consideration, it then revisits and reassesses the existing literature regarding the motives and drivers behind China's foreign oil policy, its effectiveness, and the political interactions between China and crude oil …

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Analysts, Macroeconomic News, And The Benefit Of Active In-House Economists, Artur Hugon, Alok Kumar, An-Ping Lin Mar 2016

Analysts, Macroeconomic News, And The Benefit Of Active In-House Economists, Artur Hugon, Alok Kumar, An-Ping Lin

Research Collection School Of Accountancy

Although macroeconomic news has a major impact on corporate earnings, anecdotal evidence suggests that financial analyst research is inefficient with respect to such news. Examining analysts' earnings research, we find that they underreact to negative macroeconomic news. Analysts are not all equal, though, as analysts employed at the same firm as an active macroeconomist underreact much less. We find that the benefit of analyst access to an economist is concentrated in firms that are high in cyclicality relative to their industry, high in cyclicality in general, and that are smaller in size. In addition, analysts who are exposed to more …

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Should I Invest In Art?, Alexandra Eldridge Jan 2016

Should I Invest In Art?, Alexandra Eldridge

MA Projects

One of the more interesting ways to consider the perennial is art a good investment? question is by looking at the various ways that the art market does or does not behave like other markets. When comparing art as an asset class to more traditional assets, we first need to ask ourselves – are the two even comparable? This article explores the idiosyncrasies of the art world, compares the claims people make regarding art's investment potential to the available research studies, discusses some non-monetary motives for buying, and may even have an answer for the nagging art-as-investment question.

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An Analysis Of The Relationship Between Security Information Technology Enhancements And Computer Security Breaches And Incidents, Linda Betz Jan 2016

An Analysis Of The Relationship Between Security Information Technology Enhancements And Computer Security Breaches And Incidents, Linda Betz

CCE Theses and Dissertations

Financial services institutions maintain large amounts of data that include both intellectual property and personally identifiable information for employees and customers. Due to the potential damage to individuals, government regulators hold institutions accountable for ensuring that personal data are protected and require reporting of data security breaches. No company wants a data breach, but finding a security incident or breach early in the attack cycle may decrease the damage or data loss a company experiences. In multiple high profile data breaches reported in major news stories over the past few years, there is a pattern of the adversary being inside …

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Raj Rajaratnam: Cheater (Revised), Alicia Baker Jan 2016

Raj Rajaratnam: Cheater (Revised), Alicia Baker

Richard T. Schellhase Essay Prize in Ethics

No abstract provided.

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Informational Efficiency And The Reaction To Terrorism: A Financial Perspective, Nicholas Roland Jan 2016

Informational Efficiency And The Reaction To Terrorism: A Financial Perspective, Nicholas Roland

Honors Undergraduate Theses

The purpose of this study is to measure the message terror organizations hope to convey using the financial markets as a proxy of measurement to determine patterns within the marketplace and the effects on the terrorists’ ability to deliver a desired message due to the increased use of digital devices and access to instantaneous news, seen over the past decade. Using death count, geographic location, and event type, this study identified 109 attacks between 1985 and 2015 to be analyzed against 5 market indices and 5 securities. Measuring the effects within a 10-day sample window from the time of the …

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The Archway Investment Fund, Annual Report 2016, Bryant University, Archway Investment Fund Jan 2016

The Archway Investment Fund, Annual Report 2016, Bryant University, Archway Investment Fund

Archway Investment Fund

The Archway Investment Fund, led by Professor Asli Ascioglu, is a series of two classes, consisting of a semester focused on Securities Analysis, and a semester of Portfolio Management. The students begin as Securities Analysts, where they gain a foundational knowledge for investment management and financial analysis.

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The Cost Of Feeling Good, Casey M. Field Jan 2016

The Cost Of Feeling Good, Casey M. Field

Honors Undergraduate Theses

The Cost of Feeling Good attempts to quantify the optimum portfolio returns of Socially Responsible Investment Funds and Dual-Purpose Portfolios. In order to meet the demands of investors who want to create a social impact and generate financial returns, investors can choose two methods. For the purpose of this study, the social returns were quantified and the financial returns were quantified using net present value. In every scenario, the socially responsible investment decision generated higher financial returns. Because of the immediate loss to an investor after choosing the DPP strategy, financially, the SRI fund appears to be the better approach …

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Testing The Predictive Power Of Equity Valuation Metrics: A Minskyian Approach, Mohd Ahnaf Habib Khan Jan 2016

Testing The Predictive Power Of Equity Valuation Metrics: A Minskyian Approach, Mohd Ahnaf Habib Khan

Senior Projects Spring 2016

Valuation process is at the core of finance. There are several methods that can be used to value a stock. Analysts, due to constraints in time, choose between a few metrics to obtain a target price for the stock. In this paper we analyze the predictive power of different valuation metrics when used to predict the S\&P 500. We do so by first presenting theoretical discussions about the financial markets. The case that EMH is not a good model for finance and that behavioral finance, though useful, does not create a complete picture. Mainstream investment theories presented by Neoclassicals and …

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