Ebook: A Reappraisal of the Efficiency of Financial Markets

The behaviour of market prices is a fascinating subject for researchers. Opinions vary substantially. from the view that prices accurately and quickly reflect relevant information to the other extreme that prices are not rationally determined and are hence to some degree predictable. This diversity of belief about the efficiency of markets is reflected in these proceedings of the NATO Advanced Research Workshop on "A reappraisal of the efficiency of financial markets". The thirty-one workshop papers cover stock. currency and commodity markets. We are pleased to have contributions on markets in eleven NATO countries: Belgium. Canada. Denmark. France. Germany. Greece. Italy. the Netherlands. Portugal. the United Kingdom and the United States. The workshop papers thus provide a wide-ranging account of contemporary research into financial markets worldwide. The workshop was held at the Hotel do Mar. Sesimbra. Portugal from April 11 th to April 15th. 1988. We record our gratitude to Jose Cabral for ensuring the smooth progress of the workshop. The generous financial assistance of NATO was supplemented by contributions from: The Chicago Board of Trade. Alianca Seguradora. Banco Comercial Portugues. Fundacao Luso-Americana Para 0 Desenvolvimento. Junta Nacional de Investigacao Cientifica e Tecnologica. We speak for all the workshop participants in expressing our thanks to all our sponsors. Rui M. Campos Guimaraes. University of Porto.

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Content:
Front Matter....Pages I-XI
The NATO Advanced Research Workshop on “A Reappraisal of the Efficiency of Financial Markets”....Pages 1-24
What do we Know about Stock Market “Efficiency”?....Pages 25-55
Stock Price Reversals and Overreaction to News Events: A Survey of Theory and Evidence....Pages 57-84
Comments on De Bondt’s “Stock Price Reversals and Overreaction to News Events: A Survey of Theory and Evidence”....Pages 85-86
Seasonal Anomalies in Financial Markets: A Survey....Pages 87-111
David Ikenberry and Josef Lakonishok “Seasonal Anomalies in Financial Markets: A Survey”....Pages 113-116
Earnings Yield and Size Effects: Unconditional and Conditional Estimates....Pages 117-142
A Look at the Validity of the CAPM in Light of Equity Market Anomalies: The Case of Belgian Common Stocks....Pages 143-164
Market Size, PE Ratios, Dividend Yield and Share Prices: The UK Evidence....Pages 165-196
Comments on Mario Levis “Market Size, PE Ratios, Dividend Yield and Share Prices: Their Impact on Common Stock Returns....Pages 197-197
Canadian Calendar Anomalies and the Capital Asset Pricing Model....Pages 199-226
Comments on C.B. Cadsby’s “Canadian Calendar Anomalies and the Capital Asset Pricing Model”....Pages 227-228
An Investigation of Daily Seasonality in the Greek Equity Market....Pages 229-257
Comments on Condoyanni, O’Hanlon and McLeay “An Investigation of Daily Seasonality in the Greek Equity Market”....Pages 259-260
Random Walks and Anomalies on the Copenhagen Stock Exchange in the 1890’s....Pages 261-282
Comments on L P Jennergren and B Sorensen “Random Walks and Anomalies on the Copenhagen Stock Exchange in the 1890’s”....Pages 283-284
January Skewness, Another Enigma?....Pages 285-304
Forecasting Price Trends at the Lisbon Stock Exchange....Pages 305-320
Comments on Nuno Crato and Alvaro Assis Lopes “The Lisbon Stock Exchange: A Particularly Disturbing Market”....Pages 321-321
The Market for Initial Public Offerings. An analysis of the Amsterdam Stock Exchange (1982–1987)....Pages 323-348
French New Issues, Underpricing and Alternative Methods of Distribution....Pages 349-368
Going Public in the F.R.G.....Pages 369-393
Trading Rules Around Repurchase Tender Offers....Pages 395-408
Price-Conditional Vector Autoregressions and Theories of Stock Price Determination....Pages 409-429
Comments on R J Shiller: “Price-conditional Vector Autoregressions and Theories of stock price determination”....Pages 431-432
Is the UK Equity Market Consistent with the “Efficient Markets” Model?....Pages 433-451
Are UK Stock Prices Excessively Volatile: A Comment....Pages 453-455
Rational Expectations and Perfect Foresight Prices....Pages 457-468
A Re-Examination of Excess Rational Price Approximations and Excess Volatility in the Stock Market....Pages 469-492
Comments on Gary Shea “Ex-Post Rational Price Approximations and the Empirical Reliability of the Present Value Relation....Pages 493-494
The Italian Stock Market: Efficiency and Price Formation....Pages 495-517
The Impact of EMH Logic in Practice....Pages 519-536
Comments on Simon M. Keane “The Impact of EMH Logic in Practice”....Pages 537-538
The Efficiency of the Chicago Board of Trade Futures and Futures Options Markets....Pages 539-546
The Stability of Speculative Profits in the Foreign Exchanges....Pages 547-576
Further Evidence Against the Efficiency of Futures Markets....Pages 577-601
Comments on Stephen J. Taylor and Abdelkamel Tari “Further Evidence Against the Efficiency of Futures Markets”....Pages 603-605
Analyst Expectations and Risk Premia in the Forward Foreign Exchange Market: An Empirical Examination....Pages 607-629
Comments on Peter Pope and David Peel “Analyst Expectations and Risk Premia in the Forward Foreign Exchange Market: An Empirical Examination....Pages 631-633
Monetary and Economic Influences in Econometric Models of International Commodity Price Behaviour....Pages 635-655
Comments on W. Labys, H. Thomas and D. Gijsbers “Monetary and Economic Influences in Econometric Models of International Commodity Price Speculation”....Pages 657-658
Market Efficiency and Commodity Prices — Forecasting Soyabean Prices on the Chicago Market....Pages 659-697
Purchasing Maize Futures Under a Deadline: Testing and Risk-Yield Evaluation of a Price-Trend Buying Policy....Pages 699-733
Comments on J.S. Cabral and R.M.C. Guimaraes: Purchasing maize futures under a deadline — testing and risk-yield evaluation of a price-trend buying policy....Pages 735-735
A State-Space Approach to Forecasting Commodity Prices....Pages 737-744
An Empirical Test of the OPM Based on EOE-Transactions Data....Pages 745-768
The Pricing of Euromarket Warrants on Japanese Stocks a Preliminary Study....Pages 769-795
Discussant....Pages 797-798
Back Matter....Pages 799-807

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Content:
Front Matter....Pages I-XI
The NATO Advanced Research Workshop on “A Reappraisal of the Efficiency of Financial Markets”....Pages 1-24
What do we Know about Stock Market “Efficiency”?....Pages 25-55
Stock Price Reversals and Overreaction to News Events: A Survey of Theory and Evidence....Pages 57-84
Comments on De Bondt’s “Stock Price Reversals and Overreaction to News Events: A Survey of Theory and Evidence”....Pages 85-86
Seasonal Anomalies in Financial Markets: A Survey....Pages 87-111
David Ikenberry and Josef Lakonishok “Seasonal Anomalies in Financial Markets: A Survey”....Pages 113-116
Earnings Yield and Size Effects: Unconditional and Conditional Estimates....Pages 117-142
A Look at the Validity of the CAPM in Light of Equity Market Anomalies: The Case of Belgian Common Stocks....Pages 143-164
Market Size, PE Ratios, Dividend Yield and Share Prices: The UK Evidence....Pages 165-196
Comments on Mario Levis “Market Size, PE Ratios, Dividend Yield and Share Prices: Their Impact on Common Stock Returns....Pages 197-197
Canadian Calendar Anomalies and the Capital Asset Pricing Model....Pages 199-226
Comments on C.B. Cadsby’s “Canadian Calendar Anomalies and the Capital Asset Pricing Model”....Pages 227-228
An Investigation of Daily Seasonality in the Greek Equity Market....Pages 229-257
Comments on Condoyanni, O’Hanlon and McLeay “An Investigation of Daily Seasonality in the Greek Equity Market”....Pages 259-260
Random Walks and Anomalies on the Copenhagen Stock Exchange in the 1890’s....Pages 261-282
Comments on L P Jennergren and B Sorensen “Random Walks and Anomalies on the Copenhagen Stock Exchange in the 1890’s”....Pages 283-284
January Skewness, Another Enigma?....Pages 285-304
Forecasting Price Trends at the Lisbon Stock Exchange....Pages 305-320
Comments on Nuno Crato and Alvaro Assis Lopes “The Lisbon Stock Exchange: A Particularly Disturbing Market”....Pages 321-321
The Market for Initial Public Offerings. An analysis of the Amsterdam Stock Exchange (1982–1987)....Pages 323-348
French New Issues, Underpricing and Alternative Methods of Distribution....Pages 349-368
Going Public in the F.R.G.....Pages 369-393
Trading Rules Around Repurchase Tender Offers....Pages 395-408
Price-Conditional Vector Autoregressions and Theories of Stock Price Determination....Pages 409-429
Comments on R J Shiller: “Price-conditional Vector Autoregressions and Theories of stock price determination”....Pages 431-432
Is the UK Equity Market Consistent with the “Efficient Markets” Model?....Pages 433-451
Are UK Stock Prices Excessively Volatile: A Comment....Pages 453-455
Rational Expectations and Perfect Foresight Prices....Pages 457-468
A Re-Examination of Excess Rational Price Approximations and Excess Volatility in the Stock Market....Pages 469-492
Comments on Gary Shea “Ex-Post Rational Price Approximations and the Empirical Reliability of the Present Value Relation....Pages 493-494
The Italian Stock Market: Efficiency and Price Formation....Pages 495-517
The Impact of EMH Logic in Practice....Pages 519-536
Comments on Simon M. Keane “The Impact of EMH Logic in Practice”....Pages 537-538
The Efficiency of the Chicago Board of Trade Futures and Futures Options Markets....Pages 539-546
The Stability of Speculative Profits in the Foreign Exchanges....Pages 547-576
Further Evidence Against the Efficiency of Futures Markets....Pages 577-601
Comments on Stephen J. Taylor and Abdelkamel Tari “Further Evidence Against the Efficiency of Futures Markets”....Pages 603-605
Analyst Expectations and Risk Premia in the Forward Foreign Exchange Market: An Empirical Examination....Pages 607-629
Comments on Peter Pope and David Peel “Analyst Expectations and Risk Premia in the Forward Foreign Exchange Market: An Empirical Examination....Pages 631-633
Monetary and Economic Influences in Econometric Models of International Commodity Price Behaviour....Pages 635-655
Comments on W. Labys, H. Thomas and D. Gijsbers “Monetary and Economic Influences in Econometric Models of International Commodity Price Speculation”....Pages 657-658
Market Efficiency and Commodity Prices — Forecasting Soyabean Prices on the Chicago Market....Pages 659-697
Purchasing Maize Futures Under a Deadline: Testing and Risk-Yield Evaluation of a Price-Trend Buying Policy....Pages 699-733
Comments on J.S. Cabral and R.M.C. Guimaraes: Purchasing maize futures under a deadline — testing and risk-yield evaluation of a price-trend buying policy....Pages 735-735
A State-Space Approach to Forecasting Commodity Prices....Pages 737-744
An Empirical Test of the OPM Based on EOE-Transactions Data....Pages 745-768
The Pricing of Euromarket Warrants on Japanese Stocks a Preliminary Study....Pages 769-795
Discussant....Pages 797-798
Back Matter....Pages 799-807
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