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Tests of the Efficient-Markets Theory

  • Michael Firth
Chapter
Part of the Studies in Finance and Accounting book series (SFA)

Abstract

Given that the stock market exerts considerable influence on the economy it is obviously important that its performance should be measured, and specifically that the efficient-markets theory (E.M.T.) be tested. Until the early 1960s, however, very few quantitative studies had been made into share price behaviour and hence little was known about the efficiency of the market. Since that date there has been an enormous, almost explosive, growth in research in the United States, this being largely occasioned by the construction of computerised data banks which store share price information and accounting information in an easily accessible form. This has enabled statistical analyses to be run and has enabled various plausible investment rules to be evaluated over long time periods. The major data banks are the C.R.I.S.P. (Centre for Research into Security Prices) tapes, compiled originally at Chicago University, Compustat tapes and the tapes maintained by Wells Fargo Bank.

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Notes and References

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Copyright information

© Michael Firth 1977

Authors and Affiliations

  • Michael Firth
    • 1
  1. 1.Department of Accountancy and Business LawUniversity of StirlingUK

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