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RESEARCH PRODUCT

A multicriteria extension of the efficient market hypothesis

Maria Luisa Vercher-ferrandizDavid Pla-santamariaFernando Mayor-vitoriaFrancisco Salas-molina

subject

ECONOMIA APLICADAefficient market hypothesisComputer scienceGeneral MathematicsSigned measuresContext (language use)multiple-criteria test02 engineering and technology:CIENCIAS ECONÓMICAS [UNESCO]Efficient market hypothesisEfficient-market hypothesisEmpirical research0502 economics and business0202 electrical engineering electronic engineering information engineeringComputer Science (miscellaneous)EconometricsNormalization (sociology)Empirical evidenceEngineering (miscellaneous)Parametric statisticsMultiple-criteria test050208 financelcsh:Mathematics05 social sciencesUNESCO::CIENCIAS ECONÓMICASExtension (predicate logic)lcsh:QA1-93912.- Garantizar las pautas de consumo y de producción sosteniblesNormalizationnormalizationsigned measuresECONOMIA FINANCIERA Y CONTABILIDAD020201 artificial intelligence & image processingDecision analysis

description

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.

yearjournalcountryeditionlanguage
2021-03-01
10.3390/math9060649https://hdl.handle.net/10550/82356