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Efficient Market Hypothesis (EMH): Past, Present and Future

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Author Info

  • Gili Yen

    ()
    (Department of Business Administration, Chaoyang University of Technology, Taiwan)

  • Cheng-few Lee

    ()
    (Faculty of Management, Rutgers University, Piscataway, NJ 08854-8054, USA)

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    Abstract

    In this survey article, after delineating its historical origin of the Efficient Market Hypothesis (EMH), the authors summarize from the methodological perspective the empirical findings from 1960s through 1990s bearing on the EMH under the headings "supporting empirical findings as documented in 1960s", "mixed empirical findings as merged in the late 1970s through 1980s" and "challenging empirical findings as appeared in 1990s". The authors move on to sketch the ongoing debate in the 21st century based on empirical evidence available and then present an overall assessment of the EMH. Once necessary reservations and precautious interpretations are taken into consideration, the authors contend at the end of the article that the EMH is here to stay and will continue to play an important role in modern finance for years to come.

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    Bibliographic Info

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal Review of Pacific Basin Financial Markets and Policies.

    Volume (Year): 11 (2008)
    Issue (Month): 02 ()
    Pages: 305-329

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    Handle: RePEc:wsi:rpbfmp:v:11:y:2008:i:02:p:305-329

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    Related research

    Keywords: Efficient market hypothesis (EMH); historical origin of the EMH; empirical evidence bearing on the EMH; overall assessment of the EMH;

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    Cited by:
    1. Pawe{\l} Fiedor, 2013. "Frequency Effects on Predictability of Stock Returns," Papers 1310.5540, arXiv.org, revised Nov 2013.
    2. Taylor, Nick, 2014. "The rise and fall of technical trading rule success," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 286-302.
    3. Majumder, Debasish, 2014. "Asset pricing for inefficient markets: Evidence from China and India," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 282-291.
    4. Kianā€Ping Lim & Robert Brooks, 2011. "The Evolution Of Stock Market Efficiency Over Time: A Survey Of The Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 69-108, 02.
    5. Mobarek, Asma & Fiorante, Angelo, 2014. "The prospects of BRIC countries: Testing weak-form market efficiency," Research in International Business and Finance, Elsevier, vol. 30(C), pages 217-232.
    6. Alagidede, Paul, 2011. "Return behaviour in Africa's emerging equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 133-140, May.

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