Efficient Capital Markets: A Review of Theory and Empirical Work

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

“…Uma das anomalias mais importantes e que desafia a hipótese de eficiência de mercado (Fama, 1970(Fama, , 1991 é o efeito dia da semana ou segunda-feira (Bohl, Schuppli, & Siklos, 2010). Após as pesquisas de Cross (1973) e French (1980, foram documentados retornos significativamente negativos na segunda-feira, sendo também que um grande corpo da literatura tem evoluído para documentar retornos diários anormais para muitos mercados de ações no mercado financeiro mundial (Agrawal & Tandon, 1994;Barone, 1990).…”

Modern Resource-Based Theory(ies)

“…Although part of the marketing effort of the RBV has been to point to its roots in Edith Penrose's thinking on firm growth (Penrose, 1959;Kor & Mahoney, 2000), the RBV does not get established in the strategy field until the seminal contributions by Lippman and Rumelt (1982), Wernerfelt (1984), Rumelt (1984) and Barney (1986). As already mentioned, resourcebased scholars have relied heavily on fundamental insights and theories of various fields and branches in economics, such as the economic theory of the entrepreneur (Barney, 1986;Knight, 1921;Rumelt, 1987); efficient markets theory (Barney, 1986;Fama, 1970); theories of input heterogeneity and its consequences for firm growth (Penrose, 1959;Wernerfelt, 1984); property rights economics (Coase, 1960;Teece, 1986;Kim & Mahoney, 2005;; the theory of competitive equilibrium (Debreu, 1959;Lippman & Rumelt, 1982); and, arguably, particularly Chicago-UCLA industrial organization economics (Demsetz, 1973(Demsetz, , 1974Peltzman, 1977;Crawford & Alchian, 1978). Thus, the base of economics from which the RBV has drawn nourishment is one of applied micro-economics and efficient markets theory.…”

Can the publication of annual financial reports become an opportunity for insider trading?

“…Insider trading relies on making transactions based on privileged or inside information that is not available to other participants of the market. The research on profits from insider trading behavior can be treated as part of the study on the hypothesis of efficient market formulated by Fama (1970). In its strong form, the hypothesis postulates that even privileged information is fully reflected in security prices, and that having knowledge of it cannot lead to superior profits.…”