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Market Efficiency Hypothesis

In: Encyclopedia of Finance

Author

Listed:
  • Melody Lo

    (University of Texas at San Antonio)

Abstract

Market efficiency is one of the most fundamental research topics in both economics and finance. Since (Fama, Journal of Finance 25(2): 383–417, 1970) formally introduced the concept of market efficiency, studies have been developed at length to examine issues regarding the efficiency of various financial markets. In this chapter, we review elements, which are at the heart of market efficiency literature: the statistical efficiency market models, joint hypothesis testing problem, and three categories of testing literature.

Suggested Citation

  • Melody Lo, 2022. "Market Efficiency Hypothesis," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 30, pages 937-943, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-91231-4_30
    DOI: 10.1007/978-3-030-91231-4_30
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