Efficient Capital Markets : A Review of Theory and Empirical Work

By Stephen F. LeRoy, William R. Parke, Stanley Fischer. 1994

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Citations in the corpus

Statistical Arbitrage in Cryptocurrency Markets (2019, neutral): “These results outperform a naive buy-and-hold strategy of Bitcoin, and of all 40 participating coins, equally-weighted by far—thereby indicating that this young and aspiring market may not (yet) follow the semi-strong form of market efﬁciency (Fama 1970).”
The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis (2007, background): “…technical analysis was derived largely from the intellectual standing of the efficient markets hypothesis (EMH), which, even in its 'weak form' (Fama, 1970), maintains that all relevant information should already be embodied in asset prices, making it impossible to earn excess returns on…”
Corporate Disclosure Policy and the Informativeness of Stock Prices (2000, unknown): “This is desirable, because the Fama (1970) joint test problem precludes definitive testing of market efficiency.”
A Time Series is Worth 64 Words: Long-term Forecasting with Transformers (2022, background): “It is well known that if a market is efﬁcient, the best prediction for x t will be just x t − 1 (Fama, 1970).”
Complex Evolutionary Systems in Behavioral Finance (2008, methodology): “…mathematical modeling approach based on a representative, fully rational agent and perfectly efficient markets (Muth (1961), Lucas (1971), Fama (1970)) to a behavioral approach based on computational models where markets are viewed as complex evolving systems with many interacting,…”
Estimating Global Bank Network Connectedness (2017, unknown): “…our intentionally reduced-form approach: Our goal is to provide a credible 1See, among others, the classic work of Shleifer & Vishny (1992), F. Allen & Gale (1994), F. Allen & Gale (2000), Cifuentes et al. (2005), Acharya & Yorulmazer (2007), and Gorton (2015). framework for “getting the…”
Market Efficiency, Long-term Returns, and Behavioral Finance (1997, unknown): “During the Loughran-Ritter period, variables known to be related to average stock return include size and bookto-market equity (BE/ME) [Fama and French (1992)], and short-term past return [Jegadeesh and Titman (1993)].”
Investor Psychology in Capital Markets: Evidence and Policy Implications (2001, unknown): “We discuss the pricing of CAPM beta and the risk factors of Fama and French (1993), and do not attempt to review the vast literature on multifactor pricing (see Campbell (2000)).”
Algorithmic Complexity of Financial Motions (2014, unknown): “…to sum up 50 years of research on this topic (some of the major contributions in this field being, for example those of Samuelson, 1965, 1973; Fama, 1970, 1991, 1998; Leroy, 1989; Timmermann and Granger, 2004), the general import of this approach is that the only thing that moves prices in…”
Financial modeling using Gaussian process models (2011, unknown): “This hypothesis was developed by E. Fama and published in his Ph.D. thesis [1] and other famous articles [2], [3] in the 1960s following earlier work of L. Bachelier [4].”
The Value of Quality (2007, unknown): “If the market is efficient, then the abnormal returns to information on quality should reflect the true underlying worth of that quality (e.g., Aaker and Jacobson 1994, Fama 1970, Malkiel 1992).”
Natural language based financial forecasting: a survey (2017, background): “The most acknowledged answer lays on the negation of the efficient market hypothesis (EMH) [36] in a real world case.”
Survey Measurement of Probabilistic Macroeconomic Expectations: Progress and Promise (2017, unknown): “Adherents of the efficient markets hypothesis contended that prices reveal all privately held information and concluded that expectations must be homogeneous ex post, even if they are heterogeneous ex ante (Fama 1970). In contrast to the above, theoretical research arguing that heterogeneity of expe”