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Efficient capital markets: A statistical definition and comments

  • Milionis, Alexandros E.
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    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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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4M524SY-1/2/536e8bc41821b969ed64253130193e76
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    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 77 (2007)
    Issue (Month): 6 (March)
    Pages: 607-613

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    Handle: RePEc:eee:stapro:v:77:y:2007:i:6:p:607-613
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    1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    2. 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.
    3. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
    4. 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.
    5. 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.
    6. LeRoy, Stephen F, 1976. "Efficient Capital Markets: Comment," Journal of Finance, American Finance Association, vol. 31(1), pages 139-41, March.
    7. Rubinstein, Mark, 1975. "Securities Market Efficiency in an Arrow-Debreu Economy," American Economic Review, American Economic Association, vol. 65(5), pages 812-24, December.
    8. Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-43, July.
    9. 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.
    10. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
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