Скачать или смотреть Efficient Market Hypothesis, Anomalies, and Adaptive Finance || The Market Puzzle || CFA

The source provides a comprehensive overview of the Efficient Market Hypothesis (EMH), starting with its foundational definition by Eugene Fama in 1970, which posits that asset prices fully reflect all available information. It systematically examines the three forms of informational efficiency—weak, semi-strong, and strong—noting that only the strong form is universally rejected due to the profitability of insider trading. In contrast, the semi-strong form remains the subject of ongoing debate. The text details significant empirical challenges to the EMH, specifically the existence of persistent market anomalies such as the value, size, and momentum effects, which suggest predictable returns. It then discusses the EMH proponents' risk-based defence, exemplified by the Fama-French Three-Factor Model, which attributes these anomalies to compensation for systematic risks rather than mispricing. Finally, the source presents alternative frameworks, such as Behavioural Finance and the Adaptive Market Hypothesis (AMH), the latter reconciling efficiency with investor biases by suggesting that market efficiency is a dynamic, time-varying condition influenced by evolutionary forces.