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1、SESSIONTOPIC:STOCKMARKETPRICEBEHAVIORSESSIONCHAIRMAN:BURTONG.MALKIELEFFICIENTCAPITALMARKETS:AREVIEWOFTHEORYANDEMPIRICALWORK*EUGENEF.FAMA**I.INTRODUCTIONTHEPRIMARYROLEofthecapitalmarketisallocationofownershipoftheeconomy'scapitalstock.Ingeneralterms,theidealisamark
2、etinwhichpricesprovideaccuratesignalsforresourceallocation:thatis,amarketinwhichfirmscanmakeproduction-investmentdecisions,andinvestorscanchooseamongthesecuritiesthatrepresentownershipoffirms'activitiesundertheassumptionthatsecuritypricesatanytime"fullyreflect"all
3、availablein•formation.Amarketinwhichpricesalways"fullyreflect"availableinforma•tioniscalled"efficient."Thispaperreviewsthetheoreticalandempiricalliteratureontheefficientmarketsmodel.Afteradiscussionofthetheory,empiricalworkconcernedwiththeadjustmentofsecurityprice
4、stothreerelevantinformationsubsetsisconsidered.First,weakformtests,inwhichtheinformationsetisjusthistoricalprices,arediscussed.Thensemi-strongformtests,inwhichthecon•cerniswhetherpricesefficientlyadjusttootherinformationthatisobviouslypubliclyavailable(e.g.,announ
5、cementsofannualearnings,stocksplits,etc.)areconsidered.Finally,strongformtestsconcernedwithwhethergivenin•vestorsorgroupshavemonopolisticaccesstoanyinformationrelevantforpriceformationarereviewed.'Weshallconcludethat,withbutafewex•ceptions,theefficientmarketsmodel
6、standsupwell.Thoughweproceedfromtheorytoempiricalwork,tokeeptheproperhistoricalperspectiveweshouldnotetoalargeextenttheempiricalworkinthisareaprecededthedevelopmentofthetheory.Thetheoryispresentedfirsthereinordertomoreeasilyjudgewhichoftheempiricalresultsaremostre
7、levantfromtheviewpointofthetheory.Theempiricalworkitself,however,willthenbereviewedinmoreorlesshistoricalsequence.Finally,theperceptivereaderwillsurelyrecognizeinstancesinthispaperwhererelevantstudiesarenotspecificallydiscussed.Insuchcasesmyapol•ogiesshouldbetaken
8、forgranted.Theareaissobountifulthatsomesuchinjusticesareunavoidable.Buttheprimarygoalherewillhavebeenac•complishedif.acoherentpictureofthemainlinesofthe
