A Modern Approach to the Efficient-Market Hypothesis
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2013
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| Soggetti: | |
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| _version_ | 1866918351384608768 |
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| author | Frahm, Gabriel |
| author_facet | Frahm, Gabriel |
| contents | Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information flow including the evolution of asset prices. By contrast, No Weak Arbitrage together with market sensitivity is sufficient and necessary for a market to be informationally efficient. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1302_3001 |
| institution | arXiv |
| publishDate | 2013 |
| record_format | arxiv |
| spellingShingle | A Modern Approach to the Efficient-Market Hypothesis Frahm, Gabriel General Finance 91B25, 91G20 Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information flow including the evolution of asset prices. By contrast, No Weak Arbitrage together with market sensitivity is sufficient and necessary for a market to be informationally efficient. |
| title | A Modern Approach to the Efficient-Market Hypothesis |
| topic | General Finance 91B25, 91G20 |
| url | https://arxiv.org/abs/1302.3001 |