The meaning of market efficiency
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Cited in
(27)- Relative asset price bubbles
- Measuring and monitoring the efficiency of markets
- Inefficient bubbles and efficient drawdowns in financial markets
- Informational efficiency under short sale constraints
- On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets
- A computational view of market efficiency
- Informational efficiency with trading constraints: a characterization
- Asset market equilibrium with liquidity risk
- No-arbitrage in a numéraire-independent modeling framework
- Efficient `myopic' asset pricing in general equilibrium: a potential pitfall in excess volatility tests
- Distributional divergence, statistical experiments and consequences in option pricing
- Log-normal stochastic volatility model with quadratic drift
- Asset price bubbles: invariance theorems
- Financial asset price bubbles under model uncertainty
- Asset price bubbles, wealth preserving, dominating, and replicating trading strategies
- Efficient capital markets: a statistical definition and comments
- Concavity, stochastic utility, and risk aversion
- Good deals in markets with friction
- Positive alphas and a generalized multiple-factor asset pricing model
- A quantitative description for efficient financial markets
- A theoretical foundation of portfolio resampling
- THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
- Beating the market? A mathematical puzzle for market efficiency
- What proportion of time is a particular market inefficient? {\dots} A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions
- Golden options in financial mathematics
- A beautiful theorem
- Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
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