This Master Thesis gives an overview of the research into the efficient market hypothesis from its first days in the 1950s to the present. The discussion of theoretical models and concepts is being complemented by a review of relevant empirical evidence from international capital markets. The thesis is completed by a brief outlook on newer research venues, including models employing behavioural finance approaches.
Inhaltsverzeichnis (Table of Contents)
- 1. Introduction
- 2. What is the Efficient Market Hypothesis?
- 2.1. Definition of Market Efficiency
- 2.1.1. The Three Forms of Market Efficiency
- 2.1.2. Limits of Efficiency
- 2.1.3. Questions Left Unaddressed
- 2.2. A Short History of the Efficient Market Hypothesis
- 2.1. Definition of Market Efficiency
- 3. Explanatory Models of Market Behaviour
- 3.1. Expected Return Efficient Market Models
- 3.1.1. The Fair Game Model
- 3.1.2. The Submartingale Model
- 3.1.3. The Random Walk Model
- 3.1.4. The Capital Asset Pricing Model
- 3.1.5. The Market Model
- 3.2. Variance Efficient Market Models
- 3.3. Behavioural Models
- 3.1. Expected Return Efficient Market Models
- 4. Testing for Market Efficiency
- 4.1. Tests for Weak-Form Efficiency
- 4.2. Tests for Semistrong-Form Efficiency
- 4.2.1. Event Studies
- 4.2.2. Mutual Fund Studies
- 4.3. Tests for Strong-form Efficiency
- 5. Evidence of Market Efficiency
- 5.1. Market Anomalies
- 5.1.1. Serial Correlation
- 5.1.2. Return Seasonality
- 5.1.3. Stock Price Reaction to Index Inclusion
- 5.1.4. Neglected-Firm Effect and Liquidity Effect
- 5.2. Insider Information
- 5.2.1. Legislative Treatment of Insiders
- 5.2.2. Evidence from U.S. Markets
- 5.2.3. Evidence from International Markets
- 5.3. Mutual Fund Performance
- 5.3.1. Methodology of Mutual Fund Studies
- 5.3.2. Evidence of Mutual Fund Performance
- 5.4. Short-Term Momentum and Long-Term Reversal
- 5.4.1. Evidence for Trend Reversal
- 5.4.2. Evidence for Momentum
- 5.4.3. Possible Explanations for the Momentum and Reversal Effects
- 5.5. Evidence from the Austrian Market
- 5.5.1. Pichler's 1993 Test
- 5.5.2. Aussenegg and Grünbichler's 1999 Study
- 5.5.3. Mestel and Gurgul's 2003 Test
- 5.5.4. Gurgul, Mestel, and Schleicher's 2003 Test
- 5.5.5. Other Evidence
- 5.6. Evidence from the German Market
- 5.6.1. Uhlir's 1984 Review
- 5.6.2. Krämer and Runde's 1993 Study
- 5.6.3. Glaser and Weber's 2003 Study
- 5.6.4. Other Evidence
- 5.7. Evidence from Bond Markets
- 5.1. Market Anomalies
- Definition and History of the Efficient Market Hypothesis
- Testing for Market Efficiency and Evidence of Anomalies
- Impact of Insider Information and Mutual Fund Performance
- Short-Term Momentum and Long-Term Reversal Effects
- Empirical Evidence from Austrian and German Markets
Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)
This thesis explores the Efficient Market Hypothesis (EMH) and its validity in today's markets. It aims to provide a comprehensive overview of the theory, including its historical development, explanatory models, and empirical evidence. The work analyzes various market anomalies and insider information, as well as the performance of mutual funds and the phenomenon of short-term momentum and long-term reversal. The thesis also investigates specific evidence from Austrian and German markets.
Zusammenfassung der Kapitel (Chapter Summaries)
Chapter 1 provides an introduction to the Efficient Market Hypothesis (EMH) and its significance. Chapter 2 delves into the definition of market efficiency, outlining the three forms of market efficiency, limits of efficiency, and questions left unaddressed. Chapter 3 examines different explanatory models of market behaviour, focusing on expected return efficient market models, variance efficient market models, and behavioural models.
Chapter 4 explores methods for testing market efficiency, encompassing tests for weak-form efficiency, semistrong-form efficiency, and strong-form efficiency. Chapter 5 delves into the empirical evidence of market efficiency, analyzing market anomalies, insider information, mutual fund performance, short-term momentum and long-term reversal, and evidence from Austrian and German markets.
Schlüsselwörter (Keywords)
The main keywords and focus topics of this thesis include the Efficient Market Hypothesis, market efficiency, market anomalies, insider information, mutual fund performance, short-term momentum, long-term reversal, empirical evidence, Austrian market, and German market. These concepts form the core themes and research areas explored in this work.
- Citation du texte
- Stefan Palan (Auteur), 2004, The Efficient Market Hypothesis and its Validity in Today's Markets, Munich, GRIN Verlag, https://www.grin.com/document/32694
