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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