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Are European Equity Style Indexes Mean Reverting? Testing the Validity of the Efficient Market Hypothesis

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  • Marian Berneburg
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    Abstract

    The article tests for a random walk in European equity style indexes. After briefly introducing the efficient market hypothesis, equity styles in general and the used statistical techniques (Variance Ratio Test and modified Rescaled Range Test) it is shown that a random walk in European equity style indexes cannot be rejected. At least in the period since the mid 70s, for which this research has been conducted, the weak form efficient market hypothesis seems to hold.

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    File URL: http://www.iwh-halle.de/d/publik/disc/193.pdf
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    Bibliographic Info

    Paper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 193.

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    Date of creation: Aug 2004
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    Handle: RePEc:iwh:dispap:193

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    Related research

    Keywords: efficient market hypothesis; variance ratio test; rescaled range test; equity style investment;

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    Cited by:
    1. Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 518-532, June.

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