A Modern Approach to the Efficient-Market Hypothesis
AbstractMarket efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information flow including the evolution of asset prices. By contrast, No Weak Arbitrage together with market sensitivity is sufficient and necessary for a market to be informationally efficient.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1302.3001.
Date of creation: Feb 2013
Date of revision: Mar 2014
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-02 (All new papers)
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