A Reappraisal of the Efficiency of Financial MarketsRui M.C. Guimaraes, Brian G. Kingsman, Stephen Taylor The behaviour of market prices is a fascinating subject for researchers. Opinions vary substantially. from the view that prices accurately and quickly reflect relevant information to the other extreme that prices are not rationally determined and are hence to some degree predictable. This diversity of belief about the efficiency of markets is reflected in these proceedings of the NATO Advanced Research Workshop on "A reappraisal of the efficiency of financial markets". The thirty-one workshop papers cover stock. currency and commodity markets. We are pleased to have contributions on markets in eleven NATO countries: Belgium. Canada. Denmark. France. Germany. Greece. Italy. the Netherlands. Portugal. the United Kingdom and the United States. The workshop papers thus provide a wide-ranging account of contemporary research into financial markets worldwide. The workshop was held at the Hotel do Mar. Sesimbra. Portugal from April 11 th to April 15th. 1988. We record our gratitude to Jose Cabral for ensuring the smooth progress of the workshop. The generous financial assistance of NATO was supplemented by contributions from: The Chicago Board of Trade. Alianca Seguradora. Banco Comercial Portugues. Fundacao Luso-Americana Para 0 Desenvolvimento. Junta Nacional de Investigacao Cientifica e Tecnologica. We speak for all the workshop participants in expressing our thanks to all our sponsors. Rui M. Campos Guimaraes. University of Porto. |
Contents
SURVEY PAPERS | 7 |
SEASONAL AND OTHER ANOMALIES | 11 |
What do we know about stock market efficiency? | 25 |
Copyright | |
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abnormal returns anomalies asset pricing autocorrelation average behavior beta buying capital CAPM coefficients common stocks daily returns December dividend yield E/P effect earnings efficient market efficient market hypothesis empirical equation equilibrium equity estimated evidence excess returns exchange rate expected returns Fama Financial Economics forecasts futures prices Guimaraes hypothesis implied implied volatility initial public offerings investment investors issue January effect Journal of Finance Keim Lakonishok market efficiency market price market value Monday month monthly returns negative observed offering options overreaction paper parameters PE ratio percent period positive predictions premia pricing model procedure profits quintile rate of return ratio rational expectations regression relative risk premium Rozeff sample seasonal securities share price Shiller significant significantly skewness small firms standard deviation statistics Stock Exchange stock market stock prices stock returns strategy studies systematic risk Table trading day trading rule transactions costs underpricing variable variance