Efficient Capital Markets : II

SEQUELS ARE RARELY AS good as the originals, so I approach this review of the market efficiency literature with trepidation. The task is thornier than it was 20 years ago, when work on efficiency was rather new. The literature is now so large that a full review is impossible, and is not attempted here. Instead, I discuss the work that I find most interesting, and I offer my views on what we have learned from the research on market efficiency.

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[78]  Marc R. Reinganum.  The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects , 1983 .

[79]  Jerold B. Warner,et al.  On corporate governance: A study of proxy contests , 1983 .

[80]  R. Roll,et al.  A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market , 2008 .

[81]  Phoebus J. Dhrymes,et al.  A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory , 1984 .

[82]  Wilbur G. Lewellen,et al.  Market Timing and Mutual Fund Investment Performance , 1984 .

[83]  R. Shiller.  Stock Prices and Social Dynamics , 1984 .

[84]  Frank H. Easterbrook,et al.  Two Agency-Cost Explanations of Dividends , 1984 .

[85]  Stephen A. Ross,et al.  A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply , 1984 .

[86]  Roy. Henriksson,et al.  Market Timing and Mutual Fund Performance: An Empirical Investigation , 1984 .

[87]  Michael S. Rozeff.  Dividend yields are equity risk premiums , 1984 .

[88]  R. Thaler,et al.  Does the Stock Market Overreact , 1985 .

[89]  Merton H. Miller,et al.  Dividend Policy under Asymmetric Information , 1985 .

[90]  J. Campbell.  Stock Returns and the Term Structure , 1985 .

[91]  David A. Hsieh,et al.  An exploratory investigation of the firm size effect , 1985 .

[92]  S. Ross,et al.  AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF ASSET PRICES , 1985 .

[93]  John J. Binder.  Measuring the Effects of Regulation with Stock Price Data , 1985 .

[94]  Phoebus J. Dhrymes,et al.  New Tests of the APT and Their Implications , 1985 .

[95]  Robert C. Merton,et al.  On the current state of the stock market rationality hypothesis , 1985 .

[96]  Jerold B. Warner,et al.  Using daily stock returns: The case of event studies , 1985 .

[97]  Scott E. Stickel.  The effect of value line investment survey rank changes on common stock prices , 1985 .

[98]  R. Mehra,et al.  THE EQUITY PREMIUM A Puzzle , 1985 .

[99]  H. Nejat Seyhun,et al.  Insiders' profits, costs of trading, and market efficiency , 1986 .

[100]  S. Ross,et al.  Economic Forces and the Stock Market , 1986 .

[101]  Charles Trzcinka,et al.  On the Number of Factors in the Arbitrage Pricing Model , 1986 .

[102]  Donald B. Keim,et al.  Predicting returns in the stock and bond markets , 1986 .

[103]  R. Shiller,et al.  The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors , 1986 .

[104]  Ronald W. Masulis,et al.  Seasoned Equity Offerings: An Empirical Investigation , 1986 .

[105]  L. Harris.  A transaction data study of weekly and intradaily patterns in stock returns , 1986 .

[106]  L. Summers.  Does the Stock Market Rationally Reflect Fundamental Values , 1986 .

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[108]  Gary P. Brinson,et al.  Determinants of Portfolio Performance , 1986 .

[109]  M. C. Jensen,et al.  Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers , 1999 .

[110]  Josef Lakonishok,et al.  Systematic risk, total risk and size as determinants of stock market returns , 1986 .

[111]  K. French,et al.  Stock return variances: The arrival of information and the reaction of traders , 1986 .

[112]  R. Roll,et al.  The Hubris Hypothesis of Corporate Takeovers , 1986 .

[113]  Clifford W. Smith.  INVESTMENT BANKING AND THE CAPITAL ACQUISITION PROCESS , 1986 .

[114]  P. Asquith,et al.  Equity issues and offering dilution , 1986 .

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[116]  Gur Huberman,et al.  Value Line Rank and Firm Size , 1987 .

[117]  J. Poterba,et al.  Mean Reversion in Stock Prices: Evidence and Implications , 1987 .

[118]  R. Thaler,et al.  Further Evidence On Investor Overreaction and Stock Market Seasonality , 1987 .

[119]  Incentive Fees: The Basic Issues , 1987 .

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[121]  D. A. Conway,et al.  Stable Factors in Security Returns: Identification Using Cross-Validation , 1988 .

[122]  Simon Wheatley,et al.  Some tests of the consumption-based asset pricing model , 1988 .

[123]  Josef Lakonishok,et al.  Are Seasonal Anomalies Real? A Ninety-Year Perspective , 1988 .

[124]  Bruce N. Lehmann,et al.  The empirical foundations of the arbitrage pricing theory , 1988 .

[125]  A. Kleidon.  Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation: Discussion , 1988 .

[126]  J. Ritter.  The Buying and Selling Behavior of Individual Investors at the Turn of the Year , 1988 .

[127]  E. Fama,et al.  Dividend yields and expected stock returns , 1988 .

[128]  R. Shiller,et al.  Stock Prices, Earnings and Expected Dividends , 1988 .

[129]  Kalok Chan,et al.  On the Contrarian Investment Strategy , 1988 .

[130]  Gautam Kaul,et al.  Time-Variation in Expected Returns , 1988 .

[131]  Kalok Chan,et al.  An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk , 1988 .

[132]  D. Logue,et al.  The Investment Performance of Corporate Pension Plans: Why They Do Not Beat the Market Regularly , 1988 .

[133]  Jerold B. Warner,et al.  The Distribution of Power Among Corporate Managers, Shareholders, and Directors , 1988 .

[134]  Simon M. Wheatley.  Some tests of international equity integration , 1988 .

[135]  A. Craig MacKinlay,et al.  Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test , 1988 .

[136]  K. West,et al.  Bubbles, Fads, and Stock Price Volatility Tests: a Partial Evaluation , 1988 .

[137]  J. Jobson.  Stable Factors in Security Returns: Identification Using Cross-Validation: Comment , 1988 .

[138]  Laxminarayan Bhandari,et al.  Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence , 1988 .

[139]  Jerold B. Warner,et al.  The Distribution of Power Among Corporate Managers, Shareholders, and Directors , 1988, A Theory of the Firm.

[140]  E. Fama,et al.  Permanent and Temporary Components of Stock Prices , 1988, Journal of Political Economy.

[141]  Victor L. Bernard,et al.  POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUM , 1989 .

[142]  E. Fama,et al.  BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDS , 1989 .

[143]  Richard A. Ippolito.  Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965–1984 , 1989 .

[144]  Stephen F. LeRoy,et al.  Efficient Capital Markets and Martingales , 1989 .

[145]  Robert A. Connolly.  An Examination of the Robustness of the Weekend Effect , 1989, Journal of Financial and Quantitative Analysis.

[146]  Sheridan Titman,et al.  Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings , 1989 .

[147]  R. Gibbons,et al.  Empirical Tests of the Consumption-Oriented CAPM , 1989 .

[148]  Steven N. Kaplan,et al.  The effects of management buyouts on operating performance and value , 1989 .

[149]  R. Ball.  WHAT DO WE KNOW ABOUT STOCK MARKET EFFICIENCY , 1989 .

[150]  A. Lo,et al.  When are Contrarian Profits Due to Stock Market Overreaction? , 1989 .

[151]  S. P. Kothari,et al.  Nonstationary expected returns: Implications for tests of market efficiency and serial correlation in returns , 1989 .

[152]  Paul Zarowin,et al.  Does the Stock Market Overreact to Corporate Earnings Information , 1989 .

[153]  Donald B. Keim.  Trading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning points , 1989 .

[154]  George M. Constantinides,et al.  Habit Formation: A Resolution of the Equity Premium Puzzle , 1990, Journal of Political Economy.

[155]  B. Mcdonald,et al.  Predicting Stock Returns in an Efficient Market , 1990 .

[156]  Josef Lakonishok,et al.  The Weekend Effect: Trading Patterns of Individual and Institutional Investors , 1990 .

[157]  C. Nelson,et al.  Predictable Stock Returns: Reality or Statistical Illusion? , 1990 .

[158]  Gur Huberman,et al.  Market Efficiency and Value Line's Record , 1990 .

[159]  S. P. Kothari,et al.  Economic determinants of the relation between earnings changes and stock returns , 1990 .

[160]  Pu Liu,et al.  Stock Price Reactions to The Wall Street Journal's Securities Recommendations , 1990, Journal of Financial and Quantitative Analysis.

[161]  R. Stambaugh,et al.  Expectations and Volatility of Consumption and Asset Returns , 1990 .

[162]  V. Bernard,et al.  Evidence that stock prices do not fully reflect the implications of current earnings for future earnings , 1990 .

[163]  Narasimhan Jegadeesh,et al.  Evidence of Predictable Behavior of Security Returns , 1990 .

[164]  Mark I. Weinstein,et al.  Macroeconomics Variables and Asset Pricing: Further Results , 1990 .

[165]  R. Ariel,et al.  High Stock Returns before Holidays: Existence and Evidence on Possible Causes , 1990 .

[166]  M. Mitchell,et al.  Do Bad Bidders Become Good Targets , 1990 .

[167]  Kalok Chan,et al.  Structural and Return Characteristics of Small and Large Firms , 1991 .

[168]  Josef Lakonishok,et al.  Fundamentals and Stock Returns in Japan , 1991 .

[169]  Campbell R. Harvey.  The World Price of Covariance Risk , 1991 .

[170]  J. Cochrane,et al.  Volatility Tests and Efficient Markets: A Review Essay , 1991 .

[171]  Nai-fu Chen,et al.  Financial Investment Opportunities and the Macroeconomy , 1991 .

[172]  R. Hodrick.  Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement , 1991 .

[173]  Anthony M. Santomero.  Money supply announcements: A retrospective , 1991 .

[174]  Campbell R. Harvey,et al.  The Variation of Economic Risk Premiums , 1990, Journal of Political Economy.

[175]  Robert S. Harris,et al.  The postmerger share-price performance of acquiring firms , 1991 .

[176]  A. Gallant,et al.  Estimating the Lyapunov Exponent of a Chaotic System with Nonparametric Regression , 1992 .

[177]  E. Fama,et al.  The Cross‐Section of Expected Stock Returns , 1992 .

[178]  J. Affleck-Graves,et al.  The relation between the Value Line enigma and post-earnings-announcement drift , 1992 .

[179]  Edwin J. Elton,et al.  Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios , 1993 .