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Predictability of Asset Returns & the Efficient Market Hypothesis Part 1/3
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This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). It begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical foundation of the EMH, and show that market efficiency could co-exist with heterogeneous beliefs and individual irrationality so long as individual errors are cross-sectionally weakly dependent in the sense. The paper also considers if market inefficiencies can be exploited for profit.
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