However, the EMH has been subjected to serious challenges from many financial economists since the early 1980s. In particular, two major empirical challenges to the EMH were brought forth. The first is that many studies have indicated that stock prices are predictable. For example, Shiller (1981) discovered that there is significant predictability of stock returns over long time horizons; Poterba and Summers (1988) found significant mean reversion in stock market returns for long time periods; and Lo and MacKinlay (1999) showed that short-term serial correlations of stock returns are statistically significant. The second is that many studies have revealed a number of so-called anomalies in the stock market, which are inconsistent with the EMH. These anomalies include the small-firm effect (that is, smaller-capitalization stocks appear to outperform larger-capitalization stocks on a risk-adjusted basis), the January effect (that is, stock returns tend to be higher in January than in other months of the year), and the day-of-the-week effect (that is, stock returns appear to be lower on Mondays than on other days of the week). In spite of the vast amount of empirical evidence against the EMH, the ultimate question is: Can investors exploit
However, the EMH has been subjected to serious challenges from many financial economists since the early 1980s. In particular, two major empirical challenges to the EMH were brought forth. The first is that many studies have indicated that stock prices are predictable. For example, Shiller (1981) discovered that there is significant predictability of stock returns over long time horizons; Poterba and Summers (1988) found significant mean reversion in stock market returns for long time periods; and Lo and MacKinlay (1999) showed that short-term serial correlations of stock returns are statistically significant. The second is that many studies have revealed a number of so-called anomalies in the stock market, which are inconsistent with the EMH. These anomalies include the small-firm effect (that is, smaller-capitalization stocks appear to outperform larger-capitalization stocks on a risk-adjusted basis), the January effect (that is, stock returns tend to be higher in January than in other months of the year), and the day-of-the-week effect (that is, stock returns appear to be lower on Mondays than on other days of the week). In spite of the vast amount of empirical evidence against the EMH, the ultimate question is: Can investors exploit
正在翻譯中..