Market efficiency, long-term returns, and behavioral finance 1 The comments of Brad Barber, David Hi

@inproceedings{Fama1998MarketEL,
  title={Market efficiency, long-term returns, and behavioral finance 1 The comments of Brad Barber, David Hi},
  author={Eugene F. Fama and Sagar P Kothari and Owen Lamont and Mark Mitchell and Hersh Shefrin and Rex A. Sinquefield and Richard H. Thaler and Theo Vermaelen and Robert W. Vishny},
  year={1998}
}
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 overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market efficiency prediction that apparent anomalies can be due to methodology, most long-term return… CONTINUE READING

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Inference in long-horizon event studies: a re-evaluation of the evidence

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