The meaning of market efficiency

DOI10.1111/J.1467-9965.2011.00497.XzbMATH Open1278.91062OpenAlexW2765758317MaRDI QIDQ4906537FDOQ4906537

Authors: Martin Larsson, Robert A. Jarrow 

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00497.x

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zbMATH Keywords

economic equilibriumefficient marketsmartingale measuresno arbitrageinformation setslocal martingale measuresno dominancesemi-strong-form efficiencystrong-form efficiencyweak-form efficiency

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50)

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Cited In (27)

• Positive alphas and a generalized multiple-factor asset pricing model
• Relative asset price bubbles
• Financial asset price bubbles under model uncertainty
• A beautiful theorem
• A quantitative description for efficient financial markets
• THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
• Beating the market? A mathematical puzzle for market efficiency
• Asset market equilibrium with liquidity risk
• Informational efficiency under short sale constraints
• Distributional divergence, statistical experiments and consequences in option pricing
• Concavity, stochastic utility, and risk aversion
• On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets
• Efficient capital markets: a statistical definition and comments
• Measuring and monitoring the efficiency of markets
• Golden options in financial mathematics
• Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
• A computational view of market efficiency
• Informational efficiency with trading constraints: a characterization
• Good deals in markets with friction
• 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
• Efficient `myopic' asset pricing in general equilibrium: a potential pitfall in excess volatility tests
• Log-normal stochastic volatility model with quadratic drift
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• A theoretical foundation of portfolio resampling
• Asset price bubbles, wealth preserving, dominating, and replicating trading strategies
• Inefficient bubbles and efficient drawdowns in financial markets
• Asset price bubbles: invariance theorems

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