Efficient capital markets

FAMA, E. F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617.

Type

Journal article

Intellectual base

Primary research

Year

1991

Volume

46

Issue

5

Pages

1575-1617

ISSN

1540-6261

DOI

10.1111/j.1540-6261.1991.tb04636.x

DOI registrant

Wiley

Link

https://doi.org/10.1111/j.1540-6261.1991.tb04636.x

Cited from

economics_finance

Cited by

2 citations across 2 artifacts.

Each citation links to the sentence it supports in the citing article.

Primes

• Efficient Market Hypothesis (EMH)
  • EMH, as the second-generation review by Fama (1991) consolidates, has become the governing framework across dozens of applied domains.

    This sourceSecond-generation review consolidating two decades of EMH evidence across event studies, return predictability, and private-information tests.

    Supported in partVerified against the work's full text

    Fama (1991) is a review of the efficiency literature and notes its reach into corporate finance, accounting, macro and industrial organization, but never calls EMH a governing framework.

    “The empirical work on market efficiency and asset-pricing models has also changed the views and practices of market professionals.”

    Read by an automated reader; not a human review. How support was checked

Mechanisms

• Abnormal-Return / Residual Model
  • Its central pitfall is the joint-hypothesis problem

    This sourceExplains that an abnormal return can indicate information not fully reflected in prices or a misspecified expected-return model, because efficiency tests jointly test both propositions.

Verification

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Registry ID ref:9e2b2dddd503 · see in the full table