I met Eugene Fama in his office at the Booth School of Business. I began by pointing out that
the efficient markets hypothesis, which he promulgated in the nineteen-sixties and nineteen-
seventies, had come in for a lot of criticism since the financial crisis began in 1987, and I …

This paper reviews the theoretical and empirical iterature on the efficient markets model.
After a discussion of the theory, empirical work concerned with the adjustment of security
prices to three relevant information subsets is considered. First, weak form tests, in which the …

SEQUELS ARE RARELY AS good as the originals, so I approach this review of the market
efflciency literature with trepidation. The task is thornier than it was 20 years ago, when work
on efficiency was rather new. The literature is now so large that a full review is impossible …

Two easily measured variables, size and book‐to‐market equity, combine to capture the
cross‐sectional variation in average stock returns associated with market β, size, leverage,
book‐to‐market equity, and earnings‐price ratios. Moreover, when the tests allow for …

SOCIAL and economic activities, such as religion, entertainment, education, research, and
the production of other goods and services, are carried on by different types of
organizations, for example, corporations, proprietorships, partnerships, mutuals, and …

This paper tests the relationship between average return and risk for New York Stock
Exchange common stocks. The theoretical basis of the tests is the" two-parameter" portfolio
model and models of market equilibrium derived from the two-parameter portfolio model. We …

FOR many years the following ques-tion has been a source of continuing controversy in both
academic and business circles: To what extent can the past history of a common stock's
price be used to make meaningful predictions concerning the future price of the stock …

This paper identifies five common risk factors in the returns on stocks and bonds. There are
three stock-market factors: an overall market factor and factors related to firm size and book-
to-market equity. There are two bond-market factors, related to maturity and default risks …

ABSENT fiat, the form of organization that survives in an activity is the one that delivers the
product demanded by customers at the lowest price while covering costs.'Our goal is to
explain the survival of organizations characterized by separation of" ownership" and" …

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 …