Market efficiency from an evolutionary perspective.

By Andrew W. Lo. 2004

529 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4b865dd9d61e9bb9caa9b9f880a51c7b6dd5089c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. K. Lim
2. Timo Busch
3. R. Brooks
4. Jae Hyun Kim
5. Wei Luo
6. Pedro Barroso
7. A. Mobarek
8. Rob Bauer

Citations in the corpus

• Adaptive Markets and the New World Order (corrected May 2012) (2011, unknown): “1 For the hazards of “physics envy” in finance, see Lo and Mueller (2010).”
• Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis (2005, unknown): “Called the “Adaptive Markets Hypothesis” (AMH) by Lo (2004), this new framework is based on some well-known principles of evolutionary biology—competition, mutation, reproduction, and natural selection—and I argue that the impact of these forces on financial institutions and market participants…”
• The Growth and Limits of Arbitrage: Evidence from Short Interest (2014, methodology): “(JEL G02, G12, G14, G23) Acknowledgments We are grateful to Malcolm Baker, Zahi Ben-David, John Campbell, Sergey Chernenko, Lauren Cohen, Karl Diether, Robin Greenwood, Joel Hasbrouck, David Hirshleifer (the executive editor), Harrison Hong, Jakub Jurek, Johnny Kang, Jonathan Lewellen, Antti Petajis”
• Institutional Investors and the Informational Efficiency of Prices (2009, unknown): “6 Boehmer, Saar, and Yu (2005) use the measure from Hasbrouck (1993) to assess the effect of pre-trade transparency on informational efficiency.”
• The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “Our discussion on the AMH borrows heavily from Lo (2004, 2005).”
• Efficient Markets Hypothesis (2007, unknown): “In light of the sociology of the EMH controversy (see, for example, Lo 2004), the debate is likely to continue.”
• Confidence and the Stock Market: An Agent-Based Approach (2014, methodology): “This adjustment of confidence can be understood as an adaptive process in line with the so-called adaptive market hypothesis (AMH) introduced by Lo [30].”
• Beyond the Carry Trade: Optimal Currency Portfolios (2015, methodology): “This is consistent with the adaptive markets hypothesis of Lo (2004). By using new optimization technology on old currency data, we show that the puzzles in the currency market are too deep (and the economic performance of the resulting strategy too impressive) to support a risk-based explanation.”
• A cross-country analysis of herd behavior in Europe (2014, background): “We argue that our sample is able to capture i nvestor’s sentiment during crises since our sample is free from 5 The latter approach has recently been gaining attention (e.g., Lo, 2004 and 2005; Yen and Lee (2008); Ito and Sugiyama, 2009; and Lim and Brooks, 2011).”
• Sustainable Development and Financial Markets (2016, background): “To what extent markets are inefficient may depend on environmental factors such as the number of competitors in the market or the magnitude of profit opportunities available (Lo, 2004, 2005)—and, with greater ESG investment activity, on the reliability of the underlying ESG data.”
• The Origin of Behavior (2011, unknown): “From an evolutionary perspective, financial markets are neither efficient nor irrational—they are merely adaptive (Farmer and Lo, 1999; Lo, 2004, 2005).”
• Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests (2013, background): “In our previously cited US studies, Gu and Finnerty (2002) focus on DJIA, while Lo (2004, 2005) and Ito and Sugiyama (2009) examine the S&P 500.”
• The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market (2009, methodology): “These regularities are consistent with the Adaptive Markets Hypothesis (Lo (2004)), but not with the Efficient Markets Hypothesis.”
• Testing the Predictive Ability of Technical Analysis Using a New Stepwise Test Without Data Snooping Bias (2010, result): “Last, but not least, this study supports the adaptive market efficiency hypothesis of Lo (2004). Using technical predictability as a barometer of market efficiency, our results suggest that the existence of ETFs effectively improves market efficiency.”