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The Efficient Market Hypothesis and the Fractal Market Hypothesis: Interfluves, Fusions, and Evolutions
16 references·1 citing·39 second hop
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(1965)The Random Character of Stock…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Stochastic Processes Occurring in the Theory of Queues and their Analysis by the Method of the Imbedded Markov Chain (1953)Stochastic Processes Occurrin…Can Stock Market Forecasters Forecast? (1933)Can Stock Market Forecasters …Théorie de la spéculation (1900)Théorie de la spéculationInvestor sentiment, market volatility, and ESG Index dynamics: an empirical analysis (2025)Investor sentiment, market vo…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Prices of State-Contingent Claims Implicit in Option Prices (1978)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of rational option pricing (2005)Independence and Dependence (1961)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Typical Spectral Shape of an Economic Variable (2001)The Variation of Certain Speculative Prices (1963)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Introduction to Econophysics (1999)Detecting long-range correlations with detrended fluctuation analysis (2001)Effect of trends on detrended fluctuation analysis (2001)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)072103 (E50, M20) Option pricing by Esscher transforms (1995)A test for independence based on the correlation dimension (1996)Behavioral Finance and Its Implications for Stock-Price Volatility (1998)On the Stochastic Matrices Associated with Certain Queuing Processes (1953)On Queueing Processes with Bulk Service (1954)Control Techniques for Complex Networks (2007)5 Stochastic volatility (1996)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! The challenges and opportunities of Social Media (2009)
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References

  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,727 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,704 cited
  • 1900Théorie de la spéculation2,702 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1953Stochastic Processes Occurring in the Theory of Queues and their Analysis by the Method of the Imbedded Markov Chain1,082 cited
  • 1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics983 cited
  • 1976Options and Efficiency830 cited
  • 2000HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS827 cited
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 1933Can Stock Market Forecasters Forecast?727 cited
  • 1967On the Distribution of Stock Price Differences529 cited
  • 1992Chaos and order in the capital markets: a new view of cycles, prices, and market volatility423 cited

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  • 1965The Random Character of Stock Market Prices.382 cited
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    • 2025Investor sentiment, market volatility, and ESG Index dynamics: an empirical analysis17 cited