Investments, tenth edition

 11.3  Event  Studies 

359

 11.4  Are Markets Efficient?  362

The Issues

The Magnitude Issue / The Selection Bias Issue / The 

Lucky Event Issue

Weak-Form Tests: Patterns in Stock Returns

Returns over Short Horizons / Returns over Long 

Horizons

Predictors of Broad Market Returns / Semistrong Tests: 

Market Anomalies

The Small-Firm-in-January Effect / The Neglected-

Firm Effect and Liquidity Effects / Book-to-Market 

Ratios / Post–Earnings-Announcement Price Drift

Strong-Form Tests: Inside Information / Interpreting the 

Anomalies

Risk Premiums or Inefficiencies? / Anomalies or Data 

Mining? / Anomalies over Time

Bubbles and Market Efficiency