Questions tagged [market-efficiency]

An efficient market is one where the market price is an unbiased estimate of the true value of the investment.

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Mathematical Representation of Adaptive Markets Hypothesis

It has been about 13 years since Andrew Lo published The Adaptive Markets Hypothesis. It provides valid criticism to Efficient Markets Hypothesis and brings lots of innovation over it. Unfortunately, ...
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Cointegration between prices and dividends. How do I get the following expression?

Actually, I have two questions: 1. Let us assume that expected returns are constant. Then, we have the following expression for how the prices should be determined, provided that the operators are ...
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Joint tests of market efficiency - Is it possible to test market efficiency with either one?

Tests of market efficiency are the joint tests of (1)the market is efficient and (2) expected return model. Please help me (a) explain this and (b) is it possible to test market efficiency with ...
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Are BARRA's Multiple-Factor Risk models rational asset pricing models?

Barra's Multiple-Factor Models for risk (e.g. USE3, USE4, CNE5) are much like those models used in empirical asset pricing studies such as CAPM, Fama-French three-factor model and others. I'm not ...
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Problem with overlapping data when testing futures market efficiency

In my case non-overlapping data would represent the scenario where futures prices (3 months) do not correspond to the futures spot prices in terms of delivery date. For example, futures settlement ...