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The Quarterly Journal of Finance, 2020
We examine the effect of the Efficient Market Hypothesis (EMH) on the investment behavior of mutual fund managers. We show that managers who are more likely to be exposed to the ideas of EMH throughout their higher education are more “passive” than their unexposed peers: they are more likely to manage index funds, and when managing active funds, they ...
Christo A. Pirinsky +2 more
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We examine the effect of the Efficient Market Hypothesis (EMH) on the investment behavior of mutual fund managers. We show that managers who are more likely to be exposed to the ideas of EMH throughout their higher education are more “passive” than their unexposed peers: they are more likely to manage index funds, and when managing active funds, they ...
Christo A. Pirinsky +2 more
openaire +3 more sources
Is the Stock Market Efficient?
Science, 1989A stock market is said to be efficient if it accurately reflects all relevant information in determining security prices. Critics have asserted that share prices are far too volatile to be explained by changes in objective economic events—the October 1987 crash being a case in point. Although the evidence is not unambiguous, reports of the death of the
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2017
Assuming efficient markets in economics is a bit like neglecting air resistance in physics. It allows developing beautiful models and using powerful mathematical techniques, but the simple fact that there is air everywhere around us (otherwise, we could not live) or that actual markets exhibit all kinds of imperfections is not enough to discard such ...
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Assuming efficient markets in economics is a bit like neglecting air resistance in physics. It allows developing beautiful models and using powerful mathematical techniques, but the simple fact that there is air everywhere around us (otherwise, we could not live) or that actual markets exhibit all kinds of imperfections is not enough to discard such ...
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Market "Efficiency" in a Market with Heterogeneous Information
Journal of Political Economy, 1978It is commonly felt that a financial market achieves informational efficiency as traders with the best information and the most skill make profits at the expense of those with inferior information or ability and come to dominate the market. This paper develops a model of a speculative market in which this redistribution of wealth among traders with ...
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The Efficiency of Financial Markets
2005One of the largest areas of research and interest in finance concerns the efficiency of financial markets. There have been studies of the efficiency of bond markets, the foreign exchange market, the stockmarket and more recently of derivative markets such as the options and futures market.
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Market Efficiency and Stock Market
2019This study examines the concept of variable efficiency (time-varying levels of efficiency) and time-varying return predictability in the Indian stock market, which are the implications of Adaptive Markets Hypothesis (AMH). We apply linear tests to examine the time-varying dependence in two different indices of the Bombay Stock Exchange (BSE) in India ...
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SSRN Electronic Journal, 2017
Discussions about market efficiency in finance are unfocused when they fail to distinguish between the price-equals-value market hypothesis and the hard-to-beat market hypothesis. And discussions are further lacking when they fail to explain why so many investors believe that markets are easy to beat when, in truth, they are hard to beat.
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Discussions about market efficiency in finance are unfocused when they fail to distinguish between the price-equals-value market hypothesis and the hard-to-beat market hypothesis. And discussions are further lacking when they fail to explain why so many investors believe that markets are easy to beat when, in truth, they are hard to beat.
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Market Informational Efficiency
2018This chapter studies market informational efficiency which is a key concept used in financial economics, introduced by Fama in the early 1970s. A rigorous definition of an efficient market is provided which is contrasted with the intuitive definition. It is shown that this rigorous definition requires only the existence, and not the characterization of
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