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THE MEANING OF MARKET EFFICIENCY
Mathematical Finance, 2011Fama defined an efficient market as one in which prices always “fully reflect” available information. This paper formalizes this definition and provides various characterizations relating to equilibrium models, profitable trading strategies, and equivalent martingale measures.
Jarrow, Robert A., Larsson, Martin
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The Efficient Market Hypothesis and Electricity Market Efficiency Test
2005 IEEE/PES Transmission & Distribution Conference & Exposition: Asia and Pacific, 2005Market efficiency is one of the primary design objectives of an electricity market as well as for other commodity markets. The Efficient Market Hypothesis (EMH) has been applied to many other markets. However, there are very little research has been done on electricity market efficiency testing.
Lu, Z., Dong, Z. Y., Sanderson, P. M.
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On the efficiency of markets for managers [PDF]
Economic Theory, 2000 This paper examines the efficiency of the outside labor market in inducing optimal managerial behavior in the presence of learning. It shows that the incentives provided by the market can be more efficient than the original analysis of Holmstrom (1982) would suggest.
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The Efficient-Market Hypothesis
2022Prior to the financial crisis most economists, though happily not all, believed in a version of the Efficient Market Hypothesis (“EMH”) which held that financial markets were efficiently and thus always correctly priced. The financial crisis resulted in the EMH being discredited as, despite many warnings, it led central bankers to ignore the threat ...
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Measuring and Monitoring the Efficiency of Markets
SSRN Electronic Journal, 2017Market efficiency is measured by arbitrage proximity. The level of efficiency is calibrated by extent of a distortion of probability required to neutralize the drift. Simulations of bilateral gamma models estimated from past returns deliver for each asset on each day an empirical acceptability index.
Madan, Dilip B. +2 more
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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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1987
A capital market is said to be efficient if it fully and correctly reflects all relevant information in determining security prices. Formally, the market is said to be efficient with respect to some information set, ϕ, if security prices would be unaffected by revealing that information to all participants.
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A capital market is said to be efficient if it fully and correctly reflects all relevant information in determining security prices. Formally, the market is said to be efficient with respect to some information set, ϕ, if security prices would be unaffected by revealing that information to all participants.
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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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Are Cryptocurrency Markets, Efficient Markets?
SSRN Electronic Journal, 2020This paper examines the market efficiency of three key cryptocurrency markets namely: Bitcoin, Ethereum and Monero, before and during the COVID-19 pandemic. This research makes use of a Durbin-Watson test and a non-parametric runs test to test for weak-form efficiency, and two comprehensive event studies to test for semi-strong form and strong form ...
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The Accounting Review, 1981
Abstract ABSTRACT: Efficient market research arose in response to allegations from the professional investment community and critics of financial accounting, and it preceded a formal, conceptual development of market efficiency. Several ambiguities exist with respect to previous definitions of market efficiency.
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Abstract ABSTRACT: Efficient market research arose in response to allegations from the professional investment community and critics of financial accounting, and it preceded a formal, conceptual development of market efficiency. Several ambiguities exist with respect to previous definitions of market efficiency.
openaire +1 more source