Efficient-market hypothesis - Wikipedia

In his 2012 book “,” he worries more about the behavior of people than those abstract entities called markets (see Page 177). Like many proponents of behavioral finance he emphasizes the extent to which individual investors may misperceive and overreact to information. While Professor Shiller warns of “some unfortunate incentives to sleaziness inherent in finance” (the title of Chapter 24), he also believes that new financial instruments informed by his research (and his values) can save the day.

Efficient Market Hypothesis - EMH - Investopedia

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Efficient Market Hypothesis: Is The Stock Market Efficient?

Tragically, however, both investment strategies fail in the event of a major financial collapse, which drives many businesses into bankruptcy and many workers into unemployment. Minor departures from informational efficiency can’t explain the experience of the United States economy in the 21st century.

That time Buffett smashed the Efficient Market Hypothesis

Empirical studies of technical analysis do not generally support the hypothesis that such analysis can generate superior trading profits. One notable exception to this conclusion is the apparent success of momentum-based strategies over intermediate-term horizons.

The classic statements of the Efficient Markets Hypothesis (or EMH for short) are to be found in Roberts (1967) and Fama (1970).

Death of the Efficient Market Hypothesis by Min Deng :: …

"I believe there is no other proposition in economics which has more solid empirical evidence supporting it than the Efficient Market Hypothesis."
Jensen (1978)

"If the efficient markets hypothesis was a publicly traded security, its price would be enormously volatile."
Shleifer and Summers (1990)

"It is disarmingly simple to state, has far-reaching consequences for academic pursuits and business practice, and yet is surprisingly resilient to empirical proof or refutation."
Lo in Lo (1997)

"Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market efficiency prediction that apparent anomalies can be due to methodology, most long-term return anomalies tend to disappear with reasonable changes in technique."
Fama (1998)

"What, then, can we conclude about market efficiency? Amazingly, there is still no consensus among financial economists. Despite the many advances in the statistical analysis, databases and theoretical models surrounding the efficient markets hypothesis, the main effect has been to harden the resolve of the proponents on each side of the debate."
Lo (2000) in Cootner (1964)

An issue that is the subject of intense debate among academics and financial professionals is the Efficient Market Hypothesis.

'Efficient Market' Debate Slows Class Actions

Market participants distinguish among three forms of the efficient market hypothesis. The weak form asserts that all information to be derived from past trading data already is reflected in stock prices. The semistrong form claims that all publicly available information is already reflected. The strong form, which generally is acknowledged to be extreme, asserts that all information, including insider information, is reflected in prices.

Fama identified three distinct levels (or ‘strengths’) at which a market might actually be efficient.

This is embodied in the Efficient Market Hypothesis.

If a market is strong-form efficient, the current market price is the best available unbiased predictor of a fair price, having regard to all relevant information, whether the information is in the public domain or not. As we have seen, this implies that excess returns cannot consistently be achieved even by trading on inside information. This does prompt the interesting observation that must be the first to trade on the inside information and hence make an excess return. Attractive as this line of reasoning may be in theory, it is unfortunately well-nigh impossible to test it in practice with any degree of academic rigour.

Room for Debate Debate 4 1 The Efficient Market Hypothesis and Accounting from ACCT 6003 at SPSU

The Efficient Market Hypothesis on Trial: A Survey

The debate about the efficient market hypothesis has been running for decades, but it is growing more contestable and salient as global capital markets grow increasingly intertwined and investors become more engaged through a greater diversity in investment options with the help of the rapid developments in computing and information technologies. To examine this complex and volatile global securities landscape, this book tests the efficient market hypothesis using logistic regressions and develops the Logistic Indicator, a foreign exchange index day-trade model and a practical barometer and security investment tool. Along with an overview of the efficient market hypothesis debate and a broad examination of the globalization of financial markets, this study provides robust evidence of significant correlations between stock exchange indexes through the use of logistic regressions in addition to multiple regression analysis.