A guide on empirical tests of the EMH

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- Investigación (FEE) [893]
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A guide on empirical tests of the EMHDate
2019Citation
Peón, D., Antelo, M. & Calvo-Silvosa, A. (2019). A guide on empirical tests of the EMH. Review of Accounting and Finance, 18 (2), 268-295. https://doi.org/10.1108/RAF-02-2016-0031
Abstract
[Abstract]: Purpose – The efficient market hypothesis (EMH) states that asset prices in financial markets
always reflect all available information about economic fundamentals. The purpose of this
paper is to provide a guide as to which predictions of the EMH seem to be borne out by
empirical evidence.
Design/methodology/approach – Rather than following the classic three groups of tests for the
different forms of EMH that are common in the literature, the authors consider how the two
alternative definitions of the EMH and the joint hypothesis problem impact on the tests and
leave the controversy unsolved. The authors briefly report the antecedents, the main theoretical
and empirical contributions and recent literature on each type of tests.
Findings – Eventually, as a summary for each type of tests, the authors provide a critical view on
the main sources of acrimony between the alternative schools of thought in understanding
asset price formation.
Originality/value – The paper may be seen as an up-to-date introductory review for researchers
on the different tests of the EMH performed, and for newcomers to understand the key sources
of acrimony between rationalists and behaviorists.
Keywords
EMH
Financial market anomalies
Joint hypothesis problem
Financial market anomalies
Joint hypothesis problem
Editor version
Rights
Atribución-NoComercial 4.0
ISSN
1475-7702