Market Efficiency, Long-Term Returns, and Behavioral Finance

  title={Market Efficiency, Long-Term Returns, and Behavioral Finance},
  author={Eugene F. Fama},
  journal={Chicago Booth: Fama-Miller Working Paper Series},
  • E. Fama
  • Published 1 February 1997
  • Economics
  • Chicago Booth: Fama-Miller Working Paper Series
Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent over-reaction to information is about as common as under-reaction. And post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Consistent with the market efficiency prediction that apparent anomalies can also be due to methodology, the anomalies are sensitive to the… Expand
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