Is market efficient

소개글

market efficiency

목차

I. Introduction 1

II. Evidences of EMH 2
1. Testing of the weak form of the EMH 2
2. Testing of the semi-strong form of the EMH 3
3. Testing of the strong from of the EMH 4

III. Conclusion 5

References 6

본문내용

I. Introduction
The efficient-market hypothesis (EMH) assumes that financial markets are "informationally efficient." Which means that one cannot consistently achieve returns in excess of average market returns on a risk-adjusted basis, given the information publicly available at the time the investment is made.
The validity of the hypothesis has been questioned by critics who blame the belief in rational markets for much of the financial crisis of 2007–2010(The financial crisis of 2007 to the present is a crisis triggered by a liquidity shortfall in the United States banking system. It has resulted in the collapse of large financial institutions, the bailout of banks by national governments, and downturns in stock markets around the world.). Defenders of the EMH caution that conflating market stability with the EMH is unwarranted; when publicly available information is unstable, the market can be just as unstable.
Beyond the normal utility maximizing agents, the efficient-market hypothesis requires that agents have rational expectations; that on average the population is correct (even if no one person is) and whenever new relevant information appears, the agents update their expectations appropriately. Note that it is not required that the agents be rational. EMH allows that when faced with new information, some investors may overreact and some may underreact. All that is required by the EMH is that investors` reactions be random and follow a normal distribution pattern so that the net effect on market prices cannot be reliably exploited to make an abnormal

참고 자료

Martin Sewell, “Efficient Market Hypothesis,” http://www.e-m-h.org/

AbsoluteAstronomy.com, “Efficient market hypothesis,” 2011,
http://www.absoluteastronomy.com/topics/Efficient_market_hypothesis

Randika Lalith Abeysinghe, “Empirical Testing of EMH”, 2009,
http://EzineArticles.com/?expert=Randika_Lalith_Abeysinghe

Jiang Wang, “Efficient Market Hypothesis,” MIT lecture notes, 2003

Wikipedia, “Efficient-market Hypothesis,” 2011,
http://en.wikipedia.org/wiki/Efficient-market_hypothesis

Investopedia, “Understanding fundamental Vs. Technical Analysis,” 2011,
http://www.investopedia.com/video/play/fundamental-versus-technical-analysis

Yahoo! Inc., “Yahoo! Finance,” 2011
http://finance.yahoo.com/