文档介绍：Journal of Financial Economics 49 (1998) 283—306
Market efficiency, long-term returns, and behavioral
finance
Eugene F. Fama*
Graduate School of Business, University of Chicago, Chicago, IL 60637, USA
Received 17 March 1997; received in revised form 3 October 1997
Abstract
Market efficiency survives the challenge from the literature on long-term return
anomalies. Consistent with the market efficiency hypothesis that the anomalies are
chance results, apparent overreaction to information is about mon as underreac-
tion, and post-event continuation of pre-event abnormal returns is about as frequent as
post-event reversal. Most important, consistent with the market efficiency prediction that
apparent anomalies can be due to methodology, most long-term return anomalies tend to
disappear with reasonable changes in technique. ( 1998 Elsevier Science . All rights
reserved.
JEL classification: G14; G12
Keywords: Market efficiency; Behavioral finance
1. Introduction
Event studies, introduced by Fama et al. (1969), produce useful evidence on
how stock prices respond to information. Many studies focus on returns in
a short window (a few days) around a cleanly dated event. An advantage of this
approach is that because daily expected returns are close to zero, the model for
expected returns does not have a big effect on inferences about abnormal returns.
* Corresponding author. Tel.: 773 702 7282; fax: 773 702 9937; e-mail: eugene.******@.
edu.
ments of Brad Barber, David Hirshleifer, . Kothari, Owen Lamont, Mark Mitchell,
Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo
Welch, and a referee have been helpful. h French and Jay Ritter get special thanks.
0304-405X/98/$ ( 1998 Elsevier Science . All rights reserved
PII S0304-405X(98)00026-9
284 . Fama/Journal of Financial Economics 49 (1998) 283—306
The assumption in studies that focus on short return windows is that any lag
i