ALPHANOMICS: The Informational Underpinnings of Market Efficiency

ALPHANOMICS: The Informational Underpinnings of Market Efficiency

By Charles M. C. Lee, Eric C. So
Now Publishers, January, 2016

This monograph is a compact introduction to empirical research on market efficiency, behavioral finance, and fundamental analysis.  The first chapter reviews the evolution of academic thinking on market efficiency.  Chapter 2 introduces the noise trader model as an alternative framework for market-related research.  Chapter 3 surveys the growing literature on the causes and consequences of investor sentiment.  Chapter 4 examines the role of fundamental analysis in value investing.  Chapter 5 contains a survey of the literature on arbitrage costs and constraints, and Chapter 6 discusses research methodology issues associated with the need to distinguish between mispricing from risk.

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