Notes5MarketEfficiency612402359章节.pptxVIP

Market Efficiency and Financial Market AnomaliesProfessor Minwen LiTsinghua UniversityLearning ObjectivesFoundations and Forms of Financial Market Efficiency Efficient Market HypothesisFinancial Market AnomaliesKey question:Do you believe in market efficiency?Case Study This lecture covers topics related to the Dimensional Fund Advisors (2003) case study.ReferenceRequired: JM (Chapter 7) Handout: “A review of financial market anomalies” (2010) by Doron AvramovRecommended/Optional: BKM (Chapter 1113)Supplementary lecture notes on market anomaliesFama, Eugene F., “Efficient capital markets: a