Market Efficiency, Long-Term Returns, and Behavioral Finance
Eugene F. Fama
University of Chicago - Booth School of Business (Finance Authors)
February 1997
Abstract:
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 over-reaction to information is about as common as under-reaction. And post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Consistent with the market efficiency prediction that apparent anomalies can also be due to methodology, the anomalies are sensitive to the techniques used to measure them, and many disappear with reasonable changes in technique.
Number of Pages in PDF File: 31
JEL Classification: G14
working papers series
Suggested Citation
Fama, Eugene F., Market Efficiency, Long-Term Returns, and Behavioral Finance (February 1997). Available at SSRN: http://ssrn.com/abstract=15108 or http://dx.doi.org/10.2139/ssrn.15108
