Market Efficiency:

Stock Market Behaviour in Theory and Practice, Vols. I and II

Edited by Andrew W. Lo, 1997.
Glos, UK: Edward Elgar Publishing Limited.
8 Lansdown Place, Cheltenham, Glos, GL50 2HU, UK.
Tel: +44 1242 226934;
Fax: +44 1242 262111

To order, see publisher information HERE.

(Excerpt from book cover)

The efficient markets hypothesis is one of the most controversial and hotly contested ideas in all the social sciences. It is disarmingly simply to state, has far-reaching consequences for academic pursuits and business practice, and yet is surprisingly resilient to empirical proof or refutation. Even after three decades of research and literally thousands of journal articles, economists have not yet reached a consensus about whether markets - particularly financial markets - are efficient or not.

These two volumes bring together the most influential articles surrounding the efficient markets hypothesis debate, from Paul Samuelson's pathbreaking proof that properly anticipated prices fluctuate randomly to Fischer Black's study of noise traders, from Eugene Fama's empirical implementation of the efficient markets hypothesis to Robert Merton's analysis of stock price volatility.


Series Editor: Richard Roll. Allstate Professor of Economics, The Anderson School, University of California, Los Angeles, US

This major series presents by field outstanding selections of the most important articles across the entire spectrum of financial economics - one of the fastest growing areas in both business schoolsand economics departments. Each collection has been prepared b a leading specialist who has written an authoritative introduction to the literature.