A Reappraisal of the Efficiency of Financial Markets

The behaviour of market prices is a fascinating subject for researchers. Opinions vary substantially. from the view that prices accurately and quickly reflect relevant information to the other extreme that prices are not rationally determined and are hence to some degree predictable. This diversity of belief about the efficiency of markets is reflected in these proceedings of the NATO Advanced Research Workshop on "A reappraisal of the efficiency of financial markets". The thirty-one workshop papers cover stock. currency and commodity markets. We are pleased to have contributions on markets in eleven NATO countries: Belgium. Canada. Denmark. France. Germany. Greece. Italy. the Netherlands. Portugal. the United Kingdom and the United States. The workshop papers thus provide a wide-ranging account of contemporary research into financial markets worldwide. The workshop was held at the Hotel do Mar. Sesimbra. Portugal from April 11 th to April 15th. 1988. We record our gratitude to Jose Cabral for ensuring the smooth progress of the workshop. The generous financial assistance of NATO was supplemented by contributions from: The Chicago Board of Trade. Alianca Seguradora. Banco Comercial Portugues. Fundacao Luso-Americana Para 0 Desenvolvimento. Junta Nacional de Investigacao Cientifica e Tecnologica. We speak for all the workshop participants in expressing our thanks to all our sponsors. Rui M. Campos Guimaraes. University of Porto.

The NATO Advanced Research Workshop on “A reappraisal of the efficiency of financial markets”.- Section 1 Survey Papers.- What do we know about stock market “efficiency”?.- Stock price reversals and overreaction to new events: A survey of theory and evidence.- Comments.- Seasonal anomalies in financial markets: A survey.- Comments.- Section 2 Size and Earnings Anomalies.- Earnings yield and size effects: Unconditional and conditional estimates.- A look at the validity of the CAPM in the light of equity market anomalies: The case of Belgian common stocks.- Market size, PE ratios, dividend yield and share prices: The UK evidence.- Comments.- Section 3 Seasonal and Other Anomalies.- Canadian calendar anomalies and the capital asset pricing model.- Comments.- An investigation of daily seasonality in the Greek equity market.- Comments.- Random walks and anomalies on the Copenhagen stock exchange in the 1890’s.- Comments.- January skewness, another enigma?.- Forecasting price trends at the Lisbon stock exchange.- Comments.- Section 4 Initial and Repurchase Stock Offers.- The market for initial public offerings: An analysis of the Amsterdam stock exchange (1982–7).- French new issues, underpricing and alternative methods of distribution.- Going public in the F.R.G..- Trading rules around repurchase tender offers.- Section 5 Excess Price Volatility.- Price-conditional vector autoregressions and theories of stock price determination.- Comments.- Is the UK equity market consistent with the “efficient markets” model?.- Comments.- Rational expectations and perfect foresight prices.- A re-examination of excess rational price approximations and excess volatility in the stock market.- Comments.- The Italian stock market: Efficiency and price formation.- Section 6General Papers.- The impact of EMH logic in practice.- Comments.- The efficiency of the Chicago Board of Trade futures and futures options markets.- Section 7 Currency Markets.- The stability of speculative profits in the foreign exchanges.- Further evidence against the efficiency of futures markets.- Comments.- Analysts expectations and risk premia in the forward foreign exchange market: An empirical investigation.- Comments.- Section 8 Commodity Markets.- Monetary and economic influences in econometric models of international commodity price behaviour.- Comments.- Market efficiency and commodity prices: Forecasting soyabean prices on the Chicago market.- Purchasing maize futures under a deadline: Testing and risk-yield evaluation of a price-trend buying policy.- Comments.- A state-space approach to forecasting commodity prices.- Section 9 Options Markets.- An empirical test of the option pricing model based on EOE transactions data.- The pricing of Euromarket warrants on Japanese stocks: A preliminary study.- Comments.- Workshop participants.