Resource title

Are European Equity Style Indexes Mean Reverting? : Testing the Validity of the Efficient Market Hypothesis

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Resource description

The article tests for a random walk in European equity style indexes. After briefly introducing the efficient market hypothesis, equity styles in general and the used statistical techniques (Variance Ratio Test and modified Rescaled Range Test) it is shown that a random walk in European equity style indexes cannot be rejected. At least in the period since the mid 70s, for which this research has been conducted, the weak form efficient market hypothesis seems to hold.

Resource author

Marian Berneburg

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/23730

Resource license

Adapt according to the presented license agreement and reference the original author.