The effect of changes of the Hurst exponent in return predictability: the case of the Dutch market

LANZARINI, LAURA; FERNÁNDEZ BARIVIERA, AURELIO; GUERCIO, M.B.; TOMÁS MONTERDE, CRISTINA

Congreso; XVII SIGEF Congress; 2012

Stock markets allow investors to buy and sell securities at “fair and equitable” prices (Eiteman et al., 1966) EMH: prices fully reflect all available information (Fama, 1970). Unexistence of arbitrage opportunities: An investor, whose information set is the same or inferior to the market information set, cannot beat the market. Investors cannot control the flow of information towards the market.