Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

By Andrew W. Lo. 2005

596 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f6ffd5b32e1c5655c37f730e7dad3d3d5983fea3

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Citations in the corpus

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, 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.”
Text mining for market prediction: A systematic review (2014, background): “Hence, a few years ago research has produced a counter-theory by the name of Adaptive Markets Hypothesis in an effort to reconcile Efficient Markets hypothesis with Behavioral Finance (Lo, 2005). Urquhart and Hudson (2013) have conducted a comprehensive empirical investigation on the Adaptive Market”
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.”
Impact of Financial Literacy and Behavioural Biases on Investment Decision-making (2021, background): “Therefore, they exercise simple heuristics or rule of thumb to make decisions (Lo, 2005).”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “Briefly, the precepts that guide the AMH as outlined in Lo (2005) are (1) individuals act in their own self-interest; (2) individuals make mistakes; (3) individuals learn and adapt; (4) competition drives adaptation and innovation; (5) natural selection shapes market ecology; and (6) evolution…”
What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data (2010, background): “This perspective provides further support for the Adaptive Markets Hypothesis of Farmer and Lo (1999) and Lo (2004, 2005), in which financial markets are not always and everywhere efficient, but where competition, mutation, adaptation, and natural selection jointly determine the dynamics of market…”
Adaptive Markets and the New World Order (corrected May 2012) (2011, unknown): “See Lo (2004, 2005) and Brennan and Lo (2011) for more detailed expositions of the adaptive markets hypothesis.”