Stochastic dominance in the outer distributions of the alfa-efficiency domain
02 Pubblicazione su volume
Bianchi Sergio, Pianese Augusto, Frezza Massimiliano, Palazzo Anna Maria
The departures from market efficiency are used to provide evidence of overreaction and underreaction in two main stock indexes. Specifically, using the notion of alfa-efficiency, we document the presence of stochastic dominance in the conditional distributions of mean log-price variations.