Market Efficiency, Long-Term Returns, and Behavioral Finance

31 Pages Posted: 30 Apr 1997  

Eugene F. Fama

University of Chicago - Finance

Date Written: 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.

JEL Classification: G14

Suggested Citation

Fama, Eugene F., Market Efficiency, Long-Term Returns, and Behavioral Finance (February 1997). Available at SSRN: https://ssrn.com/abstract=15108 or http://dx.doi.org/10.2139/ssrn.15108

Eugene F. Fama (Contact Author)

University of Chicago - Finance ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-7282 (Phone)
773-702-9937 (Fax)

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