Martingale, market efficiency and commodity prices
1977; Elsevier BV; Volume: 10; Issue: 1 Linguagem: Inglês
10.1016/0014-2921(77)90022-8
ISSN1873-572X
Autores Tópico(s)Complex Systems and Time Series Analysis
ResumoThe martingale model of market efficiency is based on a hypothesis of efficient utilization of information and on the possibility of expressing market equilibrium in terms of expected returns. The paper is concerned with providing an answer to the two following questions: (1) Under which (microeconomic) conditions is it feasible to describe equilibrium in efficient spot commodity markets in terms of expected returns? (Are the two underlying assumptions consistent?) (2) Is the 'expected return' assumption necessary to test market efficiency and what alternative can be proposed?
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