The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature

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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).”
Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests (2013, methodology): “The documented time-varying nature of short-term predictability is consistent with the AMH proposed by Lo (2004, 2005). We find that most periods with significant return autocorrelations can be associated with major exogenous events, consistent with the conjecture of Timmermann (2008). Our result al”