Schlusche, Bernd: Essays on the Efficiency of Financial Markets. - Bonn, 2010. - Dissertation, Rheinische Friedrich-Wilhelms-Universität Bonn.
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author = {{Bernd Schlusche}},
title = {Essays on the Efficiency of Financial Markets},
school = {Rheinische Friedrich-Wilhelms-Universität Bonn},
year = 2010,
month = dec,

note = {In the three decades since the term was coined by Eugene F. Fama, the efficient market hypothesis has become the central proposition in financial economics, and, as such, widely accepted by academic scholars. Fama (1970)'s statement that “a securities market is efficient if security prices at any time fully reflect all available information” is probably the most classical definition of market efficiency and serves as the centerpiece of the Efficient Market Hypothesis (EMH). The ongoing debate about capital market efficiency contains a vast array of studies on both sides, i.e., work by EMH advocates and its critics. The latter, documenting that deviations from market efficiency are observable over long horizons, formed a new strand of literature, the field of behavioral finance. This thesis contributes to the literature on the efficiency of financial markets. The findings of the following three self-contained chapters underscore the challenge in definitively answering the question of whether markets are efficient or not, and the importance of differentiating between the various forms of the EMH as markets may be efficient according to the weaker form but not according to the stronger form.
Chapter 1 investigates the process of price discovery in spot and futures markets, and raises some doubts about the weak form EMH by documenting that information is not reflected simultaneously in parallel markets. Chapter 2 aims to quantify possible data-snooping biases in the market-timing literature and to test whether the considered market-timing rules are truly superior to a buy-and-hold strategy. The findings provide evidence that markets are efficient according to weak form efficiency in that market timing fails. Chapter 3 investigates market anomalies in relation to the semi-strong form EMH, and challenges its claim by showing that publicly available information is not immediately incorporated into stock prices. We classify a comprehensive set of corporate press releases into various news categories and then analyze the corresponding stock price reactions. In addition to confirming earlier findings regarding the market reaction to financial news, we document strong responses, along with prolonged drift patterns, to news about corporate strategy, customers and partners, products and services, management changes, as well as legal developments. We show that return volatility increases and liquidity typically decreases following most news announcements.},

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