Reports of the death of the efficient markets hypothesis are greatly exaggerated!

Allen B Atkins, Edward A. Dyl

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

Large price changes that occur on a single day are found to be followed by price reversals on subsequent days. This is evidence that stock prices appear to overreact to new information. The price reversals, however, are usually well within the bid-ask spread and therefore rule out profitable trading strategies and are not evidence of weak-form market efficiency.

Original languageEnglish (US)
Pages (from-to)95-100
Number of pages6
JournalApplied Financial Economics
Volume3
Issue number2
DOIs
StatePublished - Jun 1 1993
Externally publishedYes

Fingerprint

Efficient market hypothesis
Price reversal
Price changes
Bid/ask spread
Weak-form market efficiency
Trading strategies
Stock prices

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

Reports of the death of the efficient markets hypothesis are greatly exaggerated! / Atkins, Allen B; Dyl, Edward A.

In: Applied Financial Economics, Vol. 3, No. 2, 01.06.1993, p. 95-100.

Research output: Contribution to journalArticle

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