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Market Efficiency Hypothesis

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Encyclopedia of Finance

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Abstract

Market efficiency is one of the most fundamental research topics in both economics and finance. Since (Fama, Journal of Finance 25(2): 383–417, 1970) formally introduced the concept of market efficiency, studies have been developed at length to examine issues regarding the efficiency of various financial markets. In this chapter, we review elements, which are at the heart of market efficiency literature: the statistical efficiency market models, joint hypothesis testing problem, and three categories of testing literature.

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Author information

Authors and Affiliations

  1. University of Texas at San Antonio, San Antonio, TX, USA

    Melody Lo

Authors
  1. Melody Lo
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Corresponding author

Correspondence to Melody Lo .

Editor information

Editors and Affiliations

  1. Department of Finance & Economics, Rutgers University, Piscataway, NJ, USA

    Cheng-Few Lee

  2. Center for PBBEF Research, Phoenix, AZ, USA

    Alice C. Lee

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Lo, M. (2022). Market Efficiency Hypothesis. In: Lee, CF., Lee, A.C. (eds) Encyclopedia of Finance. Springer, Cham. https://doi.org/10.1007/978-3-030-91231-4_30

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