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Market Efficiency, Long-Term Returns, and Behavioral Finance

1997; RELX Group (Netherlands); Linguagem: Inglês

10.2139/ssrn.15108

1556-5068

Eugene F. Fama,

Market Dynamics and Volatility

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 over-reaction to information is about as common as under-reaction. And post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Consistent with the market efficiency prediction that apparent anomalies can also be due to methodology, the anomalies are sensitive to the techniques used to measure them, and many disappear with reasonable changes in technique.