15. Efficient Markets

  1. T. W. Epps

Published Online: 23 MAR 2009

DOI: 10.1002/9780470455289.ch15

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

How to Cite

Epps, T. W. (2009) Efficient Markets, in Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470455289.ch15

Publication History

  1. Published Online: 23 MAR 2009
  2. Published Print: 2 MAR 2009

ISBN Information

Print ISBN: 9780470431993

Online ISBN: 9780470455289

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Keywords:

  • efficient markets;
  • informational efficiency;
  • random walk;
  • residual return;
  • monthly cumulative average residuals

Summary

This chapter contains sections titled:

  • Event Studies

  • Dynamic Tests

  • Exercises