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EFFICIENT CAPITAL MARKETS: COMMENT
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EFFICIENT CAPITAL MARKETS: COMMENT (1976)EFFICIENT CAPITAL MARKETS: COMMENTRisk Aversion and the Martingale Property of Stock Prices (1973)Risk Aversion and the Marting…Proof That Properly Discounted Present Values of Assets Vibrate Randomly (1973)Proof That Properly Discounte…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Collected Scientific Papers of Paul A. Samuelson (1968)The Collected Scientific Pape…Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature (2019)Time-Varying Price–Volume Rel…From standard to evolutionary finance: a literature survey (2018)From standard to evolutionary…Efficient market hypothesis and fraud on the market theory a new perspective for class actions (2016)Efficient market hypothesis a…Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence (2013)Fractal Markets Hypothesis an…FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY (2012)FRACTAL MARKETS HYPOTHESIS AN…Rational Exuberance (2004)Rational ExuberanceMarket Efficiency: Stock Market Behaviour in Theory and Practice (1998)Market Efficiency: Stock Mark…The Development, Accomplishments and Limitations of the Theory of Stock Market Efficiency (1994)The Development, Accomplishme…What do we Know about Stock Market “Efficiency”? (1989)What do we Know about Stock M…Informational Efficiency and Information Subsets (1986)Informational Efficiency and …Expectations Models of Asset Prices: A Survey of Theory (1982)Expectations Models of Asset …The limited efficiency of The Johannesburg Stock Exchange (1977)The limited efficiency of The…The Johannesburg Stock Exchange as an efficient market (1977)The Johannesburg Stock Exchan…Determinants of Common Stock Prices: A Time Series Analysis (1977)Determinants of Common Stock …Brownian Motion in the Stock Market (1959)Rational Expectations and the Dynamic Structure of Macroeconomic Models:A Critical Review (1975)Price formation and the appraisal function in real estate markets (1991)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Efficiency and the Variability of Asset Prices (1984)Randomized unit root processes for modelling and forecasting financial time series: Theory and applications (1996)Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions (2014)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Information, futures prices, and stabilizing speculation (1978)Mean Reversion in Equilibrium Asset Prices (1988)Asset Pricing in Economies with Frictions (1996)Efficient Capital Markets: II (1991)The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion (2014)Revisiting stock market integration in Central and Eastern European stock markets with a dynamic analysis (2019)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! 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AN ECONOMETRIC STUDY OF SINGAPORE AND USA (2006)The Determinants of Stock Prices in Pakistan (2011)Dividend Policy, Growth, and the Valuation of Shares (1961)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)Theoretical Notes on Bubbles and the Current Crisis (2011)Liquidity and asset-market dynamics (2012)The Macroeconomics of Rational Bubbles: A User's Guide (2018)Mathematics of Speculative Price (1973)The taming of Leviathan: Competition among governments (1992)Public goods and government action (2013)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1973Risk Aversion and the Martingale Property of Stock Prices354 cited
  • 1973Proof That Properly Discounted Present Values of Assets Vibrate Randomly243 cited
  • 1968The Collected Scientific Papers of Paul A. Samuelson198 cited

Cited by

  • 2013Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence113 cited
  • 1982Expectations Models of Asset Prices: A Survey of Theory112 cited
  • 2012FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY105 cited
  • 2004Rational Exuberance98 cited
  • 1977Determinants of Common Stock Prices: A Time Series Analysis69 cited
  • 1994The Development, Accomplishments and Limitations of the Theory of Stock Market Efficiency51 cited
  • 1998Market Efficiency: Stock Market Behaviour in Theory and Practice43 cited
  • 1977The Johannesburg Stock Exchange as an efficient market42 cited
  • 1986Informational Efficiency and Information Subsets37 cited
  • 2019Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature

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29 cited
  • 1989What do we Know about Stock Market “Efficiency”?28 cited
  • 2018From standard to evolutionary finance: a literature survey27 cited
  • 1977The limited efficiency of The Johannesburg Stock Exchange26 cited
  • 2016Efficient market hypothesis and fraud on the market theory a new perspective for class actions16 cited