The article presents a model describing the operation of financial markets – the adaptive market hypothesis (AMH), created by Andrew Lo. AMH builds on the theory of efficient market hypothesis (EMH), which allows one to connect EMH with conclusions from behavioral finance. The study examines the conclusions of AMH about the existence of the unstable relationship between return and risk, and the time-dependent efficiency of investment strategies. The conclusions’ verification is based on the example of KGHM Polska Miedź SA, the WIG index and the DAX index. The first conclusion was tested by using the capital asset pricing model, while the second conclusion was verified using an investment strategy based on the “January effect”. As the results show, both applications proved correct.