Efficient capital markets: A statistical definition and comments
An alternative definition for market efficiency, based on statistical rather than financial arguments is suggested, which, though equivalent with the existing one, has some comparative advantages. Further, the implications that results from some statistical tests on return predictability may have for market efficiency are discussed.
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Volume (Year): 77 (2007)
Issue (Month): 6 (March)
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References listed on IDEAS
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- LeRoy, Stephen F, 1976. "Efficient Capital Markets: Comment," Journal of Finance, American Finance Association, vol. 31(1), pages 139-141, March.
- Bollerslev, Tim, 1986.
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- Rubinstein, Mark, 1975. "Securities Market Efficiency in an Arrow-Debreu Economy," American Economic Review, American Economic Association, vol. 65(5), pages 812-824, December.
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- Alexandros Milionis & Demetrios Moschos, 2000. "On the validity of the weak-form efficient markets hypothesis applied to the London stock exchange: comment," Applied Economics Letters, Taylor & Francis Journals, vol. 7(7), pages 419-421.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
- Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
- Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-543, July.
- Harry V. Roberts, 1959. "Stock‐Market “Patterns” And Financial Analysis: Methodological Suggestions," Journal of Finance, American Finance Association, vol. 14(1), pages 1-10, 03. Full references (including those not matched with items on IDEAS)
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