Abstract
The purpose of this paper is to analyze some implications of the assumptions underlying the efficient capital market hypothesis. Within the framework of the multiperiod model of the present paper it is shown that asset prices are indeterminate and that the concept of information does not have any well-defined meaning in an efficient capital market. This is related to Keynes's view on the working of stock markets, and it is argued that this is consistent with the assumptions underlying the efficient capital market hypothesis.
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