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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- 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.
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