Market Efficiency, Long-Term Returns, and BehavioralFinance

ArXiv ID: ssrn-15108 “View on arXiv”

Authors: Unknown

Abstract

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Keywords: Unknown

Complexity vs Empirical Score

• Math Complexity: 3.0/10
• Empirical Rigor: 2.0/10
• Quadrant: Philosophers
• Why: The paper is primarily theoretical and review-based, critiquing existing literature and methodologies without presenting new complex mathematics or data-heavy backtests; it focuses on conceptual arguments about market efficiency rather than implementation.

  flowchart TD
    A["Research Goal:<br/>Test Market Efficiency &<br/>Long-Term Return Predictability"] --> B["Methodology: Event Study<br/>& Calendar-Time Portfolio Analysis"]
    
    B --> C["Data Inputs:<br/>CRSP/Compustat<br/>& Market Anomalies Data"]
    
    C --> D{"Computational Process:<br/>Calculate Cumulative Abnormal Returns<br/>& Fama-French Factor Regressions"}
    
    D --> E["Key Findings"]
    
    E --> F["Contradicts EMH:<br/>Persistent Long-Term<br/>Return Reversals"]
    E --> G["Supports Behavioral Finance:<br/>Psychological Biases Drive<br/>Market Inefficiencies"]
    E --> H["Outcomes:<br/>Anomalies Remain<br/>Statistically Significant"]