The Individual Investor in the Market
Forming a Belief Regarding Market Efficiency
DOI:
https://doi.org/10.1016/1057-0810(92)90004-VAbstract
Do the actions of investors drive the market toward efficiency or do investors utilize fads and other information unrelated to the true value of the security to drive the market away from eficiency? Investors have been forced to examine a multitude of challenges to the eficient markets hypothesis in recent years. One of the most formidable of the challenges is the “excessive market price volatility” argument. We examine this argument, as presented in the “variance bounds” literature, and conclude that, although markets may be ineficient, the “variance bounds” literature has not proved the case conclusively.
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