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Stock Market Behaviour in Theory and Practice. International Library of Critical Writings in Financial Economics No. 3
The Efficient Markets Hypothesis is one of the most controversial and hotly contested ideas in all the social sciences. It is disarmingly simple to state, has far-reaching consequences for academic pursuits and business practice, and yet is surprisingly resilient to empirical proof of refutation. Even after three decades of research and literally thousands of journal articles, economists have not yet reached a consensus about whether markets - particularly financial markets - are efficient or not. These two volumes bring together the most influential articles surrounding the Efficient Markets Hypothesis debate, from Paul Samuelson's pathbreaking proof that properly anticipated prices fluctuate randomly to Fischer Black's study of noise traders, from Eugene Fama's empirical implementation of the Efficient Markets Hypothesis to Robert Merton's analysis of stock price volatility.
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What Reviewers Are Saying
'This is a most welcome and useful collection of 49 classic articles on the theory and practice of stock markets ... This collection of classical (and some not so classical) articles on the behaviour of stocks and stock returns will be a most welcome addition to the library of anybody with an interest in empirical finance in general and stock markets in particular ... it is nice to have them [the articles] collected together so conveniently in one neat and handsome place like this.' -- Walter Kramer, Statistical Papers 'Andrew W. Lo has collected the major papers, both theoretical and empirical ... both are brief ... but excellent. For the serious reader, this collection of articles gives the best single overview of capital market efficiency that I am aware of ... The organization of these volumes is excellent.' -- Stephen F. LeRoy, The Review of Financial Studies 'What appears at first blush to be an expensive set is in fact a publishing bargain - the articles cost less than $10 each. The best of the literature in a convenient package is a must for financial economists and libraries, academic or corporate.' -- Business Library Review 'These two volumes contain a useful collection of 49 previously published articles on the subject of market efficiency ... they will be useful to newcomers to the field.' -- Gishan Dissanaike, The Economic Journal