Market Efficiency

Edited by Andrew W. Lo, Charles E. and Susan T. Harris Professor, MIT Sloan School of Management and Director, MIT Laboratory for Financial Engineering, Cambridge, Massachusetts, US

• Contents: Volume I: Introduction Part I: Theoretical Foundations Part II: The Random Walk Hypothesis Index • Volume II: Introduction Part I: Variance Bounds Tests Part II: Overreaction and Underreaction Part III: Anomalies Name Index

’This is a most welcome and useful collection of 49 classic articles on the theory and practice of stock markets . . . This collection of classical (and some not so classical) articles on the behaviour of stocks and stock returns will be a most welcome addition to the library of anybody with an interest in empirical finance in general and stock markets in particular . . . it is nice to have them [the articles] collected together so conveniently in one neat and handsome place like this.’- Walter Kramer, Statistical Papers