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dc.contributor.authorFahmy, Hany
dc.date.accessioned2019-07-27T21:15:41Z
dc.date.available2019-07-27T21:15:41Z
dc.date.issued2018
dc.identifier.citationFahmy, H. (2018). Testing the empirical validity of the adaptive markets hypothesis. Review of Economic Analysis, 9(2), 169-184.en_US
dc.identifier.issn1973-3909
dc.identifier.urihttps://viurrspace.ca/handle/10613/13982
dc.descriptionThe Review of Economic Analysis requires that authors release their work under Creative Commons Attribution Non-Commercial license. This license allows anyone to copy, distribute and transmit the work provided the use is non-commercial and appropriate attribution is given. This article is available online at http://rofea.org/index.php?journal=journal&page=article&op=view&path%5B%5D=360&path%5B%5D=163.en_US
dc.description.abstractThe issue of market efficiency attracted the attention of academicians since the existence of financial markets. Over time, two schools of thoughts were established: the efficient markets school and the behavioral finance school. Proponents of the former believed in the Efficient Markets Hypothesis whereas the latter brought evidence from behavioral finance and psychology to demonstrate that financial markets are inefficient and this inefficiency is attributed to irrational behavior of investors in making financial choices regarding asset allocation and portfolio construction. Recently, an adaptive reconciliation was suggested, which posits that investors’ adaptability is what brings back inefficient markets to efficiency. The purpose of this paper is to test empirically the validity of the Adaptive Markets Hypothesis via a smooth transition regression model with market-to book ratio as exogenous threshold variable. The results support the reconciliation and show that markets are indeed efficient sometimes and inefficient most of the time. Keywords: Efficient Markets Hypothesis, Adaptive Markets Hypothesis, Smooth Transition Regression Models, Regime Switching Models, Irrationality, S&P500, Market to-Book Ratioen_US
dc.language.isoenen_US
dc.publisherReview of Economic Analysisen_US
dc.subjectAdaptive markets hypothesisen_US
dc.subjectSmooth transition regression modelsen_US
dc.titleTesting the empirical validity of the adaptive markets hypothesisen_US
dc.typeArticleen_US


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