A Reappraisal of the Efficiency of Financial Markets

Abstract

The NATO Advanced Research Workshop on reappraisal of the efficiency of financial Section 1 Survey Papers.- What do we know about stock market efficiency?.- Stock price reversals and overreaction to new events: A survey of theory and evidence.- Comments.- Seasonal anomalies in financial markets: A survey.- Comments.- Section 2 Size and Earnings Anomalies.- Earnings yield and size effects: Unconditional and conditional estimates.- A look at the validity of the CAPM in the light of equity market anomalies: The case of Belgian common stocks.- Market size, PE ratios, dividend yield and share prices: The UK evidence.- Comments.- Section 3 Seasonal and Other Anomalies.- Canadian calendar anomalies and the capital asset pricing model.- Comments.- An investigation of daily seasonality in the Greek equity market.- Comments.- Random walks and anomalies on the Copenhagen stock exchange in the 1890's.- Comments.- January skewness, another enigma?.- Forecasting price trends at the Lisbon stock exchange.- Comments.- Section 4 Initial and Repurchase Stock Offers.- The market for initial public offerings: An analysis of the Amsterdam stock exchange (1982-7).- French new issues, underpricing and alternative methods of distribution.- Going public in the F.R.G..- Trading rules around repurchase tender offers.- Section 5 Excess Price Volatility.- Price-conditional vector autoregressions and theories of stock price determination.- Comments.- Is the UK equity market consistent with the efficient markets model?.- Comments.- Rational expectations and perfect foresight prices.- A re-examination of excess rational price approximations and excess volatility in the stock market.- Comments.- The Italian stock market: Efficiency and price formation.- Section 6 General Papers.- The impact of EMH logic in practice.- Comments.- The efficiency of the Chicago Board of Trade futures and futures options markets.- Section 7 Currency Markets.- The stability of speculative profits in the foreign exchanges.- Further evidence against the efficiency of futures markets.- Comments.- Analysts expectations and risk premia in the forward foreign exchange market: An empirical investigation.- Comments.- Section 8 Commodity Markets.- Monetary and economic influences in econometric models of international commodity price behaviour.- Comments.- Market efficiency and commodity prices: Forecasting soyabean prices on the Chicago market.- Purchasing maize futures under a deadline: Testing and risk-yield evaluation of a price-trend buying policy.- Comments.- A state-space approach to forecasting commodity prices.- Section 9 Options Markets.- An empirical test of the option pricing model based on EOE transactions data.- The pricing of Euromarket warrants on Japanese stocks: A preliminary study.- Comments.- Workshop participants.