Efficient Capital Markets: II by Eugene F. Fama

By Eugene F. Fama

Show description

Read or Download Efficient Capital Markets: II PDF

Similar investments & securities books

CAIA Level II: Advanced Core Topics in Alternative Investments

CAIA Association has built examinations that are used to certify Chartered replacement funding Analysts. The Level I curriculum builds a beginning in either conventional and substitute funding markets--for instance, the diversity of information which are used to outline funding functionality to boot as the many sorts of hedge fund techniques.

Mastering the ISDA Master Agreements: A Practical Guide for Negotiation

Released by way of the foreign Swaps and Derivatives organization, the 1992 and 2002 ISDA® grasp Agreements are the most contracts utilized in the over-the-counter worldwide derivatives marketplace. studying the ISDA grasp Agreements offers a pragmatic, transparent and necessary advisor to aid comprehend and negotiate those grasp Agreements.

Multi-Asset Investing: A Practitioner’s Framework

Regardless of the authorised incontrovertible fact that a considerable a part of the danger and go back of any portfolio comes from asset allocation, we discover this present day that most of funding execs world wide are keen on safeguard choice. Multi-Asset making an investment: A Practitioner’s Framework questions this simple constitution of the funding strategy and funding undefined.

Additional resources for Efficient Capital Markets: II

Example text

His disturbing finding is that the market does not react quickly to public information about insider trading. Outsiders can profit from the knowledge that there has been heavy insider trading for up to 8 months after information about the trading becomes public-a startling contradiction of market efficiency. Seyhun (1986) offers an explanation. He confirms that insiders profit from their trades, but he does not confirm Jaffe's finding that outsiders can profit from public information about insider trading.

Poterba, James and Lawrence Summers, 1988, Mean reversion in stock prices: Evidence and implications, Journal of Financial Economics 22, 27-59. , 1981, Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values, Journal of Financial Economics 12, 89-104. , 1983, The anomalous stock market behavior of small firms in January, Journal of Financial Economics 12, 89-104. , 1988, The buying and selling behavior of individual investors at the turn of the year, Journal of Finance 43, 701-717.

These results are consistent with the "noisy rational expectations" model of competitive equilibrium of Grossman and Stiglitz (1980). In brief, because generating information has costs, informed investors are compensated for the costs they incur to ensure that prices adjust to information. The market is then less than fully efficient (there can be private information not fully reflected in prices), but in a way that is consistent with rational behavior by all investors. C. Professional Portfolio Management Jensen's (1968, 1969) early results were bad news for the mutual-fund industry.

Download PDF sample

Rated 4.55 of 5 – based on 37 votes

Related posts