Abstract
This chapter studies market informational efficiency which is a key concept used in financial economics, introduced by Fama in the early 1970s. A rigorous definition of an efficient market is provided which is contrasted with the intuitive definition. It is shown that this rigorous definition requires only the existence, and not the characterization of an economic equilibrium. Such a rigorous definition allows new insights into the testing of an informationally efficient market, which are discussed as well.
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Jarrow, R.A. (2018). Market Informational Efficiency. In: Continuous-Time Asset Pricing Theory. Springer Finance(). Springer, Cham. https://doi.org/10.1007/978-3-319-77821-1_16
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DOI: https://doi.org/10.1007/978-3-319-77821-1_16
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