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1、JournalofFinancialEconomics49(1998)283Ð306Markete¦ciency,long-termreturns,andbehavioralÞnance1EugeneF.Fama*GraduateSchoolofBusiness,UniversityofChicago,Chicago,IL60637,USAReceived17March1997;receivedinrevisedform3October1997AbstractMarkete¦ciencysurvivesthechallengef
2、romtheliteratureonlong-termreturnanomalies.Consistentwiththemarkete¦ciencyhypothesisthattheanomaliesarechanceresults,apparentoverreactiontoinformationisaboutascommonasunderreac-tion,andpost-eventcontinuationofpre-eventabnormalreturnsisaboutasfrequentaspost-eventrever
3、sal.Mostimportant,consistentwiththemarkete¦ciencypredictionthatapparentanomaliescanbeduetomethodology,mostlong-termreturnanomaliestendtodisappearwithreasonablechangesintechnique.(1998ElsevierScienceS.A.Allrightsreserved.JELclassiÞcation:G14;G12Keywords:Markete¦ciency
4、;BehavioralÞnance1.IntroductionEventstudies,introducedbyFamaetal.(1969),produceusefulevidenceonhowstockpricesrespondtoinformation.Manystudiesfocusonreturnsinashortwindow(afewdays)aroundacleanlydatedevent.Anadvantageofthisapproachisthatbecausedailyexpectedreturnsarecl
5、osetozero,themodelforexpectedreturnsdoesnothaveabige¤ectoninferencesaboutabnormalreturns.*Correspondingauthor.Tel.:7737027282;fax:7737029937;e-mail:eugene.fama@gsb.uchicago.edu.1ThecommentsofBradBarber,DavidHirshleifer,S.P.Kothari,OwenLamont,MarkMitchell,HershShefrin
6、,RobertShiller,RexSinqueÞeld,RichardThaler,TheoVermaelen,RobertVishny,IvoWelch,andarefereehavebeenhelpful.KennethFrenchandJayRittergetspecialthanks.0304-405X/98/$19.00(1998ElsevierScienceS.A.AllrightsreservedPIIS0304-405X(98)00026-9284E.F.Fama/JournalofFinancialEcono
7、mics49(1998)283Ð306Theassumptioninstudiesthatfocusonshortreturnwindowsisthatanylagintheresponseofpricestoaneventisshort-lived.Thereisadevelopingliteraturethatchallengesthisassumption,arguinginsteadthatstockpricesadjustslowlytoinformation,soonemustexaminereturnsoverlo
8、nghorizonstogetafullviewofmarketine¦ciency.Ifoneacceptstheirstatedconclusions,manyoftherecentstudiesonlong-termreturnssuggestmarket
