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Expectations, technological change, information and the theory of financial markets

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  • Nawrocki, David N.
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-45GNTDK-15/2/694d20d4a8f123dc3dd5cc1552e499b4
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 4 (1995)
    Issue (Month): 2-3 ()
    Pages: 85-105

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    Handle: RePEc:eee:finana:v:4:y:1995:i:2-3:p:85-105

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    Web page: http://www.elsevier.com/locate/inca/620166

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    1. McGoun, Elton G., 1992. "On knowledge of finance," International Review of Financial Analysis, Elsevier, vol. 1(3), pages 161-177.
    2. Groth, John C., 1979. "Security–Relative Information Market Efficiency: Some Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(03), pages 573-593, September.
    3. Copeland, Thomas E, 1976. "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 31(4), pages 1149-68, September.
    4. Oldfield, George Jr. & Rogalski, Richard J. & Jarrow, Robert A., 1977. "An autoregressive jump process for common stock returns," Journal of Financial Economics, Elsevier, vol. 5(3), pages 389-418, December.
    5. Lau, Amy Hing-Ling & Lau, Hon-Shiang & Wingender, John R, 1990. "The Distribution of Stock Returns: New Evidence against the Stable Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 217-23, April.
    6. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
    7. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
    8. Phillips, Herbert E., 1993. "Objectivist misinterpretations of Bayesian Nuances in portfolio theory and the models," International Review of Financial Analysis, Elsevier, vol. 2(2), pages 69-76.
    9. Simon, Herbert A., 1978. "Rational Decision-Making in Business Organizations," Nobel Prize in Economics documents 1978-1, Nobel Prize Committee.
    10. Arrow, Kenneth J, 1982. "Risk Perception in Psychology and Economics," Economic Inquiry, Western Economic Association International, vol. 20(1), pages 1-9, January.
    11. Morse, Dale, 1980. "Asymmetrical Information in Securities Markets and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(05), pages 1129-1148, December.
    12. Walker, Donald A., 1989. "A Primer on Walrasian Theories of Economic Behavior," Journal of the History of Economic Thought, Cambridge University Press, vol. 11(01), pages 1-24, March.
    13. Armen A. Alchian, 1950. "Uncertainty, Evolution, and Economic Theory," Journal of Political Economy, University of Chicago Press, vol. 58, pages 211.
    14. Mandelbrot, Benoit B, 1971. "When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 225-36, August.
    15. Kaen, Fred R & Rosenman, Robert E, 1986. "Predictable Behavior in Financial Markets: Some Evidence in Support ofHeiner's Hypothesis," American Economic Review, American Economic Association, vol. 76(1), pages 212-20, March.
    16. Vlaar, Peter J G & Palm, Franz C, 1993. "The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 351-60, July.
    17. Heiner, Ronald A, 1983. "The Origin of Predictable Behavior," American Economic Review, American Economic Association, vol. 73(4), pages 560-95, September.
    18. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    19. Nawrocki, David, 1984. "Entropy, Bifurcation and Dynamic Market Disequilibrium," The Financial Review, Eastern Finance Association, vol. 19(2), pages 266-84, May.
    20. Ball, Clifford A. & Torous, Walter N., 1983. "A Simplified Jump Process for Common Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(01), pages 53-65, March.
    21. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279.
    22. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
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