Market efficiency : stock market behaviour in theory and practice

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Bibliographic Information

Market efficiency : stock market behaviour in theory and practice

edited by Andrew W. Lo

（The international library of critical writings in financial economics, 3）（An Elgar reference collection）

Edward Elgar Publishing, c1997

  • : set
  • v. 1
  • v. 2

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Includes bibliographical references and index

Description and Table of Contents

Description

The Efficient Markets Hypothesis is one of the most controversial and hotly contested ideas in all the social sciences. It is disarmingly simple to state, has far-reaching consequences for academic pursuits and business practice, and yet is surprisingly resilient to empirical proof of refutation. Even after three decades of research and literally thousands of journal articles, economists have not yet reached a consensus about whether markets - particularly financial markets - are efficient or not. These two volumes bring together the most influential articles surrounding the Efficient Markets Hypothesis debate, from Paul Samuelson's pathbreaking proof that properly anticipated prices fluctuate randomly to Fischer Black's study of noise traders, from Eugene Fama's empirical implementation of the Efficient Markets Hypothesis to Robert Merton's analysis of stock price volatility.

Table of Contents

Contents: Volume I: Introduction Part I: Theoretical Foundations Part II: The Random Walk Hypothesis Index * Volume II: Introduction Part I: Variance Bounds Tests Part II: Overreaction and Underreaction Part III: Anomalies Name Index

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