Efficient capital markets: A statistical definition and comments

Alexandros E. Milionis

Statistics & Probability Letters, 2007, vol. 77, issue 6, 607-613

Abstract: An alternative definition for market efficiency, based on statistical rather than financial arguments is suggested, which, though equivalent with the existing one, has some comparative advantages. Further, the implications that results from some statistical tests on return predictability may have for market efficiency are discussed.

Keywords: Market; efficiency; Return; predictability; Serial; correlation; in; stock; returns; Market; efficiency; in; the; presence; of; GARCH-M; models (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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