Market efficiency, long-term returns, and behavioral finance

• 成果类型: Article
• 署名作者: Fama, EF
• 署名单位: University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00026-9
• 发表日期: 1998
• 页码: 283-306
• 关键词: Market efficiency; behavioral finance

摘要

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. (C) 1998 Elsevier Science S.A. All rights reserved.