A multicriteria extension of the efficient market hypothesis
NAGIOS: RODERIC FUNCIONANDO

A multicriteria extension of the efficient market hypothesis

DSpace Repository

A multicriteria extension of the efficient market hypothesis

Show simple item record

dc.contributor.author Salas-Molina, Francisco
dc.contributor.author Pla Santamaría, David
dc.contributor.author Mayor Vitoria, Fernando
dc.contributor.author Vercher Ferrandiz, María Luisa
dc.date.accessioned 2022-04-24T16:11:58Z
dc.date.available 2022-04-25T04:45:06Z
dc.date.issued 2021 es_ES
dc.identifier.uri https://hdl.handle.net/10550/82356
dc.description.abstract Challenging the Efficient Market Hypothesis (EMH) has been a recurrent topic for researchers and practitioners since its formulation. Hundreds of empirical studies claim to either prove or disprove the EMH by means of a number of heterogeneous methods. Even though the EMH is usually adjusted to a measure of risk, there is a lack of a formal analysis within a multiple-criteria context. In this paper, we propose a extension of the EMH that accommodates the foundations of multiple-criteria decision analysis. To this end, we rely on a family of parametric signed dissimilarity measures to assess multidimensional performance differences. Since normalization is a critical step in our approach to avoid meaningless comparisons, we present two novel theoretical results connecting different normalization techniques. This multicriteria extension provides a common framework on which to add empirical evidence regarding the EMH testing. es_ES
dc.language.iso en es_ES
dc.source Salas-Molina F, Pla-Santamaria D, Mayor-Vitoria F, Vercher-Ferrandiz ML. A Multicriteria Extension of the Efficient Market Hypothesis. Mathematics. 2021; 9(6):649. es_ES
dc.subject efficient market hypothesis es_ES
dc.subject multiple-criteria test es_ES
dc.subject signed measures es_ES
dc.subject normalization es_ES
dc.title A multicriteria extension of the efficient market hypothesis es_ES
dc.type info:eu-repo/semantics/article es_ES
dc.subject.unesco UNESCO::CIENCIAS ECONÓMICAS es_ES
dc.identifier.doi https://doi.org/10.3390/math9060649 es_ES
dc.accrualMethod S es_ES
dc.embargo.terms 0 days es_ES

View       (325.1Kb)

This item appears in the following Collection(s)

Show simple item record

Search DSpace

Advanced Search

Browse

Statistics