| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w2533
|
| 来源ID | Working Paper 2533
|
| Fads, Martingales, and Market Efficiency |
| Bruce N. Lehmann
|
| 发表日期 | 1988-03-01
|
| 出版年 | 1988
|
| 语种 | 英语
|
| 摘要 | Much of the theoretical basis for current monetary and financial theory rests on the economic efficiency of financial markets. Not surprisingly, considerable effort has been expended to test the efficient markets hypothesis, usually by examination of the predictability of equity returns. Unfortunately, there are two competing explanations of the presence of such predictable variation: (1)market inefficiency, and stock price 'overreaction' due to speculative 'fads' and (2) predictable changes in expected security returns associated with forecasted changes in market or individual security 'fundamentals?. These explanations can be distinguished by examining equity returns over short time intervals since there should be negligible systematic changes in the fundamental valuation of individual firms over intervals like a week in an efficient market. This study finds sharp evidence of market inefficiency in the form of systematic tendencies for current 'winners' and 'losers' in one week to experience sizeable return reversals over the subsequent week in a way that reflect apparent arbitrage profits. These measured arbitrage profits persist after corrections for the mismeasurement of security returns because of thin trading and bid-ask spreads and for plausible levels of transactions costs. |
| 主题 | Macroeconomics
; Financial Economics
|
| URL | https://www.nber.org/papers/w2533
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559790
|
推荐引用方式
GB/T 7714 |
Bruce N. Lehmann. Fads, Martingales, and Market Efficiency. 1988.
|
|
文件名：
|
w2533.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
