Hostname: page-component-78c5997874-ndw9j Total loading time: 0 Render date: 2024-11-15T16:21:50.278Z Has data issue: false hasContentIssue false
  • English
  • Français

Security–Relative Information Market Efficiency: Some Empirical Evidence

Published online by Cambridge University Press:  06 April 2009

John C. Groth
Get access Rights & Permissions [Opens in a new window]

Extract

Commonly defined, a market is efficient if prices always fully reflect available information. That market might be viewed as consisting of two major segments: an information market and pricing mechanism. The efficiency has been amply documented elsewhere. The information market, however, should be afforded increased attention. In particular, the efficiency of the information market may vary across securities and with respect to particular securities, across time. Stated another way, the degree of imperfection in the information market may vary across securities and across time, resulting in a relative efficiency phenomenon. The presence of such a phenomenon would offer research opportunities yielding a greater understanding of the functioning of the information market and the pricing of securities.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 3 , September 1979 , pp. 573 - 593
Copyright
Copyright © School of Business Administration, University of Washington 1979

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Arrow, K. “Limited Knowledge and Economic Analysis.” American Economic Review (03 1974), pp. 1–11.Google Scholar
[2]Ball, R. “Risk, Return, and Disequilibrium: An Application to Changes in Accounting Techniques.” Journal of Finance (05 1972), pp. 343–363.CrossRefGoogle Scholar
[3]Black, F. “Yes, Virginia, There Is Hope: Tests of the Value Line Ranking System.” Financial Analysts Journal (09–10 1973), pp. 10–14.Google Scholar
[4]Black, F.; Jensen, M.; and Scholes, M.. “The Capital Asset Pricing Model: Some Empirical Tests.” In Studies in the Theory of Capital Markets, edited by Jensen, M.. New York: Praeger (1972), pp. 79–121.Google Scholar
[5]Blume, M. “On the Assessment of Risk.” Journal of Finance (03 1971), pp. 1–10.CrossRefGoogle Scholar
[6]Blume, M., and Friend, I.. “A New Look at the Capital Asset Pricing Model.” Journal of Finance (03 1973), pp. 19–33.CrossRefGoogle Scholar
[7]Cootner, P., ed. The Random Character of Stock Market Prices. Cambridge: M.I.T. Press (1964).Google Scholar
[8]Fama, E. “Components of Investment Performance.” Journal of Finance (06 1972), pp. 551–568.Google Scholar
[9]Fama, E., “Efficient Capital Markets: A Review of Theory and Empirical Work.” journal of Finance (05 1970), pp. 389–417.Google Scholar
[10]Fama, E.. “The Behavior of Stock Market Prices.” Journal of Business (01 1965), pp. 34–105.CrossRefGoogle Scholar
[11]Fama, E.; Fisher, L.; Jensen, M.; and Roll, R.. “The Adjustment of Stock Prices to New Information.” International Economics Review (02 1969)CrossRefGoogle Scholar
[12]Fama, E., and Laffer, A.. “Information and Capital Markets.” Journal of Business (07 1971), pp. 289–298.CrossRefGoogle Scholar
[13]Fama, E., and MacBeth, J.. “Risk, Return, and Equilibrium: Some Empirical Tests.” Journal of Political Economy (05–06 1973), pp. 607–636.CrossRefGoogle Scholar
[14]Friend, I., and Blume, M.. “Measurement of Portfolio Performance under Uncertainty.” American Economic Review (09 1970), pp. 561–575.Google Scholar
[15]Gonedes, N. “Information–Production and Capital Market Equilibrium.” Journal of Finance (06 1975), pp. 841–864.Google Scholar
[16]Gonedes, N. “The Capital Market, the Market for Information, and External Accounting.” Journal of Finance (05 1976), pp. 611–630.CrossRefGoogle Scholar
[17]Groth, J. “The Information Market, Pricing Mechanism, Relative Efficiency, and Efficient Markets.” Working paper (04 1976).Google Scholar
[18]Groth, J.; Lewellen, W.; Schlarbaum, G.; and Lease, R.. “An Empirical Analysis of Brokerage House Securities Recommendations.” Financial Analysts Journal (01 February 1979), pp. 32–40.CrossRefGoogle Scholar
[19]Groth, J.; Lewellen, W.; Schlarbaum, G.; and Lease, R.. “Securities Analysts: Some Are More Equal.” Journal of Portfolio Management (Spring 1978) pp. 43–48.CrossRefGoogle Scholar
[20]Hirshleifer, J. “Where Are We in the Theory of Information?” Econometrica (05 1973), pp. 31–39.Google Scholar
[21]Jensen, M. “The Performance of Mutual Funds in the Period 1945–1964.” Journal of Finance (05 1968), pp. 389–416.Google Scholar
[22]Jensen, M.. “Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios.” Journal of Business (04 1969), pp. 167–247.CrossRefGoogle Scholar
[23]Jensen, M.. ed. Studies in the Theory of Capital Markets. New York: Praeger (1972).Google Scholar
[24]Logue, D., and Tuttle, D.. “Brokerage House Investment Advice.” Financial Review (1973), pp. 38–54.Google Scholar
[25]Mossin, J.Theory of Financial Markets. Englewood Cliffs, N.J.: Prenticen–Hall (1973).Google Scholar
[26]Schlarbaum, G.; Lewellen, W.; and Lease, R.. “Realized Returns on Common Stock Investments: The Experience of Individual Investors.” Working paper #511, Journal of Business (04 1978), pp. 299–325.CrossRefGoogle Scholar
[27]Sharpe, W.Portfolio Theory and Capital Markets. New York: McGraw–Hill (1970).Google Scholar