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Market Efficiency, Long-Term Returns, and Behavioral Finance (1998)
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@MISC{Fama98marketefficiency,,
author = {Eugene F. Fama},
title = {Market Efficiency, Long-Term Returns, and Behavioral Finance},
year = {1998}
}
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Abstract
Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market efficiency prediction that apparent anomalies can be due to methodology, most long-term return anomalies tend to disappear with reasonable changes in technique.
Keyphrases
market efficiency long-term return behavioral finance long-term return anomaly chance result apparent anomaly reasonable change post-event continuation elsevier science s.a. right market ciency hypothesis post-event reversal apparent overreaction pre-event abnormal return market ciency prediction market ciency
