Efficient-market hypothesis - Wikipedia

In a slightly less rigorous form, the EMH says a market is efficient if all relevant information is quickly reflected in the market price. This is called the form of the EMH. If the strong form is theoretically the most compelling, then the semi-strong form perhaps appeals most to our common sense. It says that the market will quickly digest the publication of relevant new information by moving the price to a new equilibrium level that reflects the change in supply and demand caused by the emergence of that information. What it may lack in intellectual rigour, the semi-strong form of EMH certainly gains in empirical strength, as it is less difficult to test than the strong form.

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Efficient Markets Hypothesis: History

For about ten years after publication of Fama's classic exposition in 1970, the Efficient Markets Hypothesis dominated the academic and business scene. A steady stream of studies and articles, both theoretical and empirical in approach, almost unanimously tended to back up the findings of EMH. As Jensen (1978) wrote: ‘There is no other proposition in economics which has more solid empirical evidence supporting it than the EMH.’

History of the efficient markets hypothesis ..

If a market is semi-strong efficient, the current market price is the best available unbiased predictor of a fair price, having regard to all publicly available information about the risk and return of an investment. The study of public information (and not just past prices) cannot yield consistent excess returns. This is a somewhat more controversial conclusion than that of the weak-form EMH, because it means that analysis – the systematic study of companies, sectors and the economy at large – cannot produce consistently higher returns than are justified by the risks involved. Such a finding calls into question the relevance and value of a large sector of the financial services industry, namely investment research and analysis.

DeBondt and Richard Thaler discovered that stock prices overreact; evidencing substantial weak form market inefficiencies.
The classic statements of the Efficient Markets Hypothesis (or EMH for short) are to be found in Roberts (1967) and Fama (1970).

Efficient Market Hypothesis: Is The Stock Market Efficient?

If a market is weak-form efficient, there is no correlation between successive prices, so that excess returns cannot consistently be achieved through the study of past price movements. This kind of study is called or analysis, because it is based on the study of past price patterns without regard to any further background information.

This article introduces the concept of the efficient markets hypothesis

Is there empirical evidence of Risk Neutrality in Option Prices?

This is from my book The Age of Instability, written at a time when the efficient market hypothesis was being blamed for pretty much everything.

Jul 16, 2009 · Efficiency and beyond The efficient-markets hypothesis ..

EMH Empirical | Efficient Market Hypothesis | Beta …

If economic models failed during the crisis, so according to some of the most vocal critics, did something else central to the macroeconomic and regulatory framework in the period leading up to the crisis. This was the efficient market hypothesis, versions of which had been around for most of the 20th century but which was best defined by Professor Eugene Fama of Chicago University, in a seminal 1970 article, ‘Efficient Capital Markets: A Review of Theory and Empirical Work’, published in the Journal of Finance. Fama’s central concept was very simple, which was that financial markets are efficient in the sense that the price of, say, a company’s stock, reflects all the known information at the time.