The efficient markets hypothesis: The demise of the demon of chance?

Accounting and Finance

Volumn 51, Issue 1, 2011, Pages 79-95

  Brown, Stephen J ^a,b  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Efficient Markets Hypothesis; Event studies; G00; G14; Random Walk Hypothesis

Indexed keywords

EID: 79952094964     PISSN: 08105391     EISSN: 1467629X     Source Type: Journal    
DOI: 10.1111/j.1467-629X.2010.00366.x     Document Type: Review

References (44)

1. Acharya, V., and M. Richardson, 2009, Restoring Financial Stability: How to Repair a Failed System (John Wiley & Sons, Hoboken).
2. Bachelier, L., 1900, Théorie de la spéculation, Annales Scientifiques de l'École Normale Supérieure 3(17), 21-86.
3. Ball, R., 2009, The global financial crisis and the efficient market hypothesis: what have we learned? Journal of Applied Corporate Finance 21(4), 8-16.
4. Ball, R., and P. Brown, 1968, An empirical evaluation of accounting income numbers, Journal of Accounting Research 6, 159-178.
5. Brennan, M., and T. Copeland, 1988, Stock splits, stock prices, and transaction costs, Journal of Financial Economics 22(1), 83-101.
6. Brown, S., W. Goetzmann, and S. Ross, 1995, Survival, The Journal of Finance 50(3), 853-873.
7. Cochrane, J., 2001, Asset Pricing (Princeton University Press, Princeton).
8. Cowles, A., 1933, Can stock market forecasters forecast? Econometrica 1, 309-325.
9. Elton, E., M. Gruber, S. Brown, and W. Goetzmann, 2007, Modern Portfolio Theory and Investment Analysis (John Wiley & Sons, Hoboken).
10. Fama, E., 1965, Random walks in stock market prices, Financial Analysts Journal 21(5), 55-59.
11. Fama, E., 1970, Efficient capital markets: a review of theory and empirical work, The Journal of Finance 25(2), 383-417.
12. Fama, E., 1991, Efficient capital markets: II, The Journal of Finance 465, 1575-1617.
13. Fama, E., 1998, Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics 49(3), 283-306.
14. Fama, E., and M. Blume, 1966, Filter rules and stock market trading profits, Journal of Business 39(S1), 226-241.
15. Fama, E., and K. French, 1992, The cross-section of expected stock returns, The Journal of Finance 46, 427-466.
16. Fama, E., and J. MacBeth, 1973, Risk, return and equilibrium: empirical tests, Journal of Political Economy 71, 607-636.
17. Fama, E., L. Fisher, M. Jensen, and R. Roll, 1969, The adjustment of stock prices to new information, International Economic Review 10, 1-21.
18. Ferrillo, P., F. Dunbar, and D. Tabak, 2004, The 'less than' efficient capital markets hypothesis: requiring more proof from plaintiffs in fraud-on-the-market cases, St. John's Law Review 78(1), 81-129.
19. Fox, J., 2009, The Myth of the Rational Market: A History of Risk, Reward, and Delusion on Wall Street (HarperCollins Publishers, New York).
20. Goetzmann, W., J. Ingersoll, M. Spiegel, and I. Welch, 2007, Portfolio performance manipulation and manipulation-proof performance measures, Review of Financial Studies 20(5), 1503-1546.
21. Grossman, S., and J. E. Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393-408.
22. Ingersoll, J., 1987, Theory of Financial Decision Making (Rowman & Littlefield, Savage, MD).
23. Jaffe, J., 1974, Special information and insider trading, Journal of Business 47(3), 410-428.
24. Jensen, M., 1978, Some anomalous evidence regarding market efficiency, Journal of Financial Economics 6, 95-101.
25. Jensen, M., and R. Ruback, 1983, The market for corporate control: the scientific evidence, Journal of Financial Economics 11, 5-50.
26. Kendall, M., 1953, The analysis of economic time series - part I: prices, Journal of the Royal Statistical Society: Series A (General) 116(1), 11-34.
27. Lakonishok, J., A. Shleifer, and R. Vishny, 1994, Contrarian investment, extrapolation and risk, The Journal of Finance 49(5), 1541-1578.
28. Lettau, M., and S. Ludvigson, 2001, Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying, Journal of Political Economy 109, 1238-1287.
29. Lo, A., and A. C. MacKinley, 1988, Stock market prices do not follow random walks: evidence from a simple specification test, Review of Financial Studies 1(1), 41-66.
30. Lowenstein, R., 2000, When Genius Failed: The Rise and Fall of Long Term Capital Management (Random House, New York).
31. Lucas, R., 2009, In defence of the dismal science, The Economist, 6 Aug. Available from URL:.
32. MacKinlay, A. C., 1997, Event studies in economics and finance, Journal of Economic Literature 35, 13-39.
33. Madhavan, A., 2000, Market microstructure: a survey, Journal of Financial Markets 3, 205-258.
34. Malkiel, B., 1973, A Random Walk Down Wall Street (W. W. Norton & Company, New York).
35. Malkiel, B., 2003, The efficient markets hypothesis and its critics, Journal of Economic Perspectives 17(1), 59-82.
36. Nocera, J., 2009, Poking holes in a theory on markets, New York Times, 5 Jun. Available from URL.
37. Patell, J. M., and M. A. Wolfson, 1984, The intraday speed of adjustment of stock prices to earnings and dividend announcements, Journal of Financial Economics 13, 223-252.
38. Ross, S., 1987, Regression to the max, working paper (Yale University, New Haven, CT).
39. Rudd, K., 2009, The global financial crisis, The Monthly, Feb 2009, 20-29.
40. Shiller, R., 2000, Irrational Exuberance (Princeton University Press, Princeton).
41. Statman, M., 2009, Rational, random-walk, unbeatable, free, and fair markets: just don't call them efficient markets, working paper (Santa Clara University, Santa Clara, CA).
42. Tabak, D., and F. Dunbar, 2001, Materiality and magnitude: event studies in the courtroom, in: R. Weil, M. Wagner, P. B. Frank, eds, Litigation Services Handbook: the Role of the Financial Expert (John Wiley & Sons, New York), 19.1-19.22.
43. Tanner, L., 2009, Gear change on recovery road, The Age, 16 Apr.
44. Timmermann, A., 2008, Elusive return predictability, International Journal of Forecasting 24(1), 1-18.