FADS MARTINGALES AND MARKET EFFICIENCY PDF

Abstract. Predictable variation in equity returns might reflect either (1) predictable changes in expected returns or (2) market inefficiency and. Fads, Martingales, and Market Efficiency. Bruce N. Lehmann. The Quarterly Journal of Economics, , vol. , issue 1, Abstract. CiteSeerX – Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): for helpful coments. They share no responsibiTfty for any remaining errors.

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Information Diffusion and Overreaction: Our analysis confirms the ajd that after an abnormal price movement the size of contrarian price movement is usually higher then after normal typical daily fluctuation. Gervais, Kaniel and Mingelgrin, Your Bibliography: Purchase Subscription prices and ordering Short-term Access To purchase short term access, please sign in to your Oxford Academic account above.

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Fads, Martingales, and Market Efficiency* | The Quarterly Journal of Economics | Oxford Academic

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