Alphanomics: The Informational Underpinnings of Market Efficiency

Charles Lee and Eric C. So

Foundations and Trends(R) in Accounting, 2015, vol. 9, issue 2-3, 59-258

Abstract: This monograph is a compact introduction to empirical research on market efficiency, behavioral finance, and fundamental analysis. The first section reviews the evolution of academic thinking on market efficiency. Section 2 introduces the noise trader model as an alternative framework for market-related research. Section 3 surveys the growing literature on the causes and consequences of investor sentiment. Section 4 examines the role of fundamental analysis in value investing. Section 5 contains a survey of the literature on arbitrage costs and constraints, and Section 6 discusses research methodology issues associated with the need to distinguish between mispricing from risk.

Keywords: Market efficiency; Active investing; Valuation; Financial markets; Rationality; Investor sentiment; Noise trader (search for similar items in EconPapers)
JEL-codes: G30 G34 M41 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (14)

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