The Sensitivity of the Efficient Market Hypothesis to Alternative Specifications of the Market Model

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  • MENACHEM BRENNER

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    • The Jerusalem Business School, Hebrew University and School of Business, University of California, Berkeley. I wish to thank Marshall Blume, Dave Downes, John McClain, Marshall Sarnat, Bernell Stone, Seymour Smidt and an anonymous referee for their helpful comments and suggestions. This research has been partially supported by a grant from the Lady Davis Foundation.

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