Reports of the death of the efficient markets hypothesis are greatly exaggerated!

Allen B. Atkins; Edward A. Dyl

doi:10.1080/758532827

Reports of the death of the efficient markets hypothesis are greatly exaggerated!

Allen B. Atkins, Edward A. Dyl

Business, The W.A. Franke College of (CoB)

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

Large price changes that occur on a single day are found to be followed by price reversals on subsequent days. This is evidence that stock prices appear to overreact to new information. The price reversals, however, are usually well within the bid-ask spread and therefore rule out profitable trading strategies and are not evidence of weak-form market efficiency.

Original language	English (US)
Pages (from-to)	95-100
Number of pages	6
Journal	Applied Financial Economics
Volume	3
Issue number	2
DOIs	https://doi.org/10.1080/758532827
State	Published - Jun 1 1993

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1080/758532827

Cite this

@article{2b57d130b0c84007aae29ec46180ada8,

title = "Reports of the death of the efficient markets hypothesis are greatly exaggerated!",

abstract = "Large price changes that occur on a single day are found to be followed by price reversals on subsequent days. This is evidence that stock prices appear to overreact to new information. The price reversals, however, are usually well within the bid-ask spread and therefore rule out profitable trading strategies and are not evidence of weak-form market efficiency.",

author = "Atkins, {Allen B.} and Dyl, {Edward A.}",

year = "1993",

month = jun,

day = "1",

doi = "10.1080/758532827",

language = "English (US)",

volume = "3",

pages = "95--100",

journal = "Applied Financial Economics",

issn = "0960-3107",

publisher = "Taylor and Francis Ltd.",

number = "2",

}

TY - JOUR

T1 - Reports of the death of the efficient markets hypothesis are greatly exaggerated!

AU - Atkins, Allen B.

AU - Dyl, Edward A.

PY - 1993/6/1

Y1 - 1993/6/1

N2 - Large price changes that occur on a single day are found to be followed by price reversals on subsequent days. This is evidence that stock prices appear to overreact to new information. The price reversals, however, are usually well within the bid-ask spread and therefore rule out profitable trading strategies and are not evidence of weak-form market efficiency.

AB - Large price changes that occur on a single day are found to be followed by price reversals on subsequent days. This is evidence that stock prices appear to overreact to new information. The price reversals, however, are usually well within the bid-ask spread and therefore rule out profitable trading strategies and are not evidence of weak-form market efficiency.

UR - http://www.scopus.com/inward/record.url?scp=84953460449&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84953460449&partnerID=8YFLogxK

U2 - 10.1080/758532827

DO - 10.1080/758532827

M3 - Article

AN - SCOPUS:84953460449

SN - 0960-3107

VL - 3

SP - 95

EP - 100

JO - Applied Financial Economics

JF - Applied Financial Economics

IS - 2

ER -

Reports of the death of the efficient markets hypothesis are greatly exaggerated!

Abstract

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this