Year: 1982
Type: article
Abstract: An efficient market has been described by Fama (1970) as one in which prices always fully reflect all available information. Of the three tests of efficiency discussed, the weak form test is concerned with the randomness of price movements and measures the ability to predict future price changes from past and present changes. There are two general ways to evaluate weak form efficiency: statistical tests and mechanical trading rules. Statistical methods, including serial correlation, spectral analysis and nonparametric runs tests, permit hypothesis testing, but Fama and Blume (p. 227) point out that they may be of limited value with complex or irregular price structures.
Authors: Paul E. Peterson, Raymond M. Leuthold
Institution: University of Illinois Urbana-Champaign
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1542094852