The capital asset pricing model (CAPM) states that assets are priced commensurate with a
trade‐off between undiversifiable risk and expectations of return. The model underpins the …

The principal purpose of this study is to piece together the important development and
contributions by efficient market hypothesis, bounded rationality, behavioral finance …

The increased size and influence of financial institutions and markets has widened the
scope for divergence between value-creation and the value-added measured by national …

The present paper utilizes the portmanteau bicorrelation test statistic of Hinich (1996) in a
rolling sample approach to capture the evolution of market efficiency over time. The …

Both the cross-sectional dispersion of US stock returns and the VIX provide forecasts of
alpha dispersion across high-and low-performing portfolios of stocks that are statistically and …

The rapid advance of information and communication technology (ICT) has revolutionized
the dissemination of stock market information. Based on the noise trading theory, this study …

The Securities and Exchange Commission's disclosure philosophy has largely focused on a
single model: the publicly held corporation. This philosophy'is animated by concepts with …

Given the growing empirical evidence that returns predictability follows an evolutionary path,
it calls into question not only the usefulness of conventional statistical tests of market …

Fundamental indexing is based on the idea that the conventional approach to indexing,
which weights according to capitalization, necessarily puts too much weight on overvalued …

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH)
has influenced—or has failed to influence—federal securities regulation and state corporate …