Conclusions
The results prove fairly conclusively that the market is efficient in the semi-strong form, and use of the kind of publicly available information that has been considered does not generate abnormal returns. Houthakker [1957] and Rockwell [1967], in the separate studies mentioned previously, have both reported substantial returns to large speculators. Thus, it appears that the time lag of 11 days is sufficient to remove any benefits that might otherwise accrue to the positions taken.
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Khan, A.M. Conformity with large speculators: A test of efficiency in the grain futures market. Atlantic Economic Journal 14, 51–55 (1986). https://doi.org/10.1007/BF02304624
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DOI: https://doi.org/10.1007/BF02304624