Market Efficiency: Stock Market Behaviour in Theory and Practice

by Andrew W. Lo (editor)

'This is a most welcome and useful collection of 49 classic articles on the theory and practice of stock markets . . . This collection of classical (and some not so classical) articles on the behaviour of stocks and stock returns will be a most welcome addition to the library of anybody with an interest in empirical finance in general and stock markets in particular . . . it is nice to have them [the articles] collected together so conveniently in one neat and handsome place like this.'
- Walter Krämer, Statistical Papers The Efficient Markets Hypothesis is one of the most controversial and hotly contested ideas in all the social sciences. It is disarmingly simple to state, has far-reaching consequences for academic pursuits and business practice, and yet is surprisingly resilient to empirical proof of refutation. Even after three decades of research and literally thousands of journal articles, economists have not yet reached a consensus about whether markets - particularly financial markets - are efficient or not. These two volumes bring together the most influential articles surrounding the Efficient Markets Hypothesis debate, from Paul Samuelson's pathbreaking proof that properly anticipated prices fluctuate randomly to Fischer Black's study of noise traders, from Eugene Fama's empirical implementation of the Efficient Markets Hypothesis to Robert Merton's analysis of stock price volatility. 49 articles, dating from 1937 to 1993
Contributors F. Black, A. Cowles, F. Fama, S. Grossman, R. Roll, P. Samuelson

1224 pages, Hardcover

First published June 1, 1997

About the author

Andrew Wen-Chuan Lo is the Charles E. and Susan T. Harris Professor of Finance at the MIT Sloan School of Management. Lo is the author of many academic articles in finance and financial economics