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Recent Developments in the Theory of Efficient Capital Markets

  1. Journals
  2. Economics, Finance, Business & Management
  3. Credit and Capital Markets – Kredit und Kapital
  4. Vol. 18, Issue 3
  5. pp. 347–371

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Andersen, T. Recent Developments in the Theory of Efficient Capital Markets. Credit and Capital Markets – Kredit und Kapital, 18(3), 347-371. https://doi.org/10.3790/ccm.18.3.347
Andersen, Torben M. "Recent Developments in the Theory of Efficient Capital Markets" Credit and Capital Markets – Kredit und Kapital 18.3, 1985, 347-371. https://doi.org/10.3790/ccm.18.3.347
Andersen, Torben M. (1985): Recent Developments in the Theory of Efficient Capital Markets, in: Credit and Capital Markets – Kredit und Kapital, vol. 18, iss. 3, 347-371, [online] https://doi.org/10.3790/ccm.18.3.347
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Recent Developments in the Theory of Efficient Capital Markets

Andersen, Torben M.

Credit and Capital Markets – Kredit und Kapital, Vol. 18 (1985), Iss. 3 : pp. 347–371

4 Citations (CrossRef)

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.18.3.347
Language
Multiple languages
Pages
25

Author Details

Torben M. Andersen, Aarhus

Cited By

  1. Finanzinnovationen und Geldpolitik

    Bigler, Max

    Credit and Capital Markets – Kredit und Kapital, Vol. 21 (1988), Iss. 2 P.221

    https://doi.org/10.3790/ccm.21.2.221 [Citations: 0]

  2. Euronotes und Euro Commercial Paper als Finanzinnovationen

    Die Analyse der den Euronote-Fazilitäten und ECP Programmen immanten Risiken

    Klaus, Michael

    1988

    https://doi.org/10.1007/978-3-663-13434-3_7 [Citations: 0]

  3. Notenbankinterventionen und Effizienz der Devisenmärkte

    Ohr, Renate

    Credit and Capital Markets – Kredit und Kapital, Vol. 20 (1987), Iss. 2 P.200

    https://doi.org/10.3790/ccm.20.2.200 [Citations: 0]

  4. Orderbuchtransparenz bei homogenem Informationsangebot — eine experimentelle Untersuchung

    Gerke, Wolfgang | Bienert, Horst | Schroeder-Wildberg, Uwe

    Credit and Capital Markets – Kredit und Kapital, Vol. 28 (1995), Iss. 2 P.227

    https://doi.org/10.3790/ccm.28.2.227 [Citations: 0]

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Abstract

Recent Developments in the Theory of Efficient Capital Markets

The hypothesis that prices reflect all available information in financial markets is predominant in the financial literature. Despite the popularity of the efficient capital market hypothesis it has not been based on a rigourous theoretical foundation. Recently a highly technical literature has developed in which problems of information in competitive markets are rigourously analysed, and where the issue of informational efficiency of financial markets is explicitly addressed. The purpose of this paper is to give a non-technical introduction and review of this theoretical literature as it specifically relates to the efficient capital market hypothesis. Since the literature relies heavily on the rational expectations equilibrium concept market hypothesis we shall start out by discussing this methodology in some detail. Subsequent to this an illustrative model is developed which allows us to address the following issues of information in financial markets: information dissemination by prices, information costs, information and wealth dynamics, information dissemination by quantity signals, existence of markets and sequential trading.

Table of Contents

Section Title Page Action Price
Torben M. Andersen: Recent Developments in the Theory\rof Efficient Capital Markets 347
I. Introduction 347
II. The Rational Expectations Equilibrium Concept 349
III. An Illustrative Model 351
IV. Prices and Information 355
V. Information Costs 358
VI. Wealth Dynamics 361
VII. Quantity Signals 362
VIII. Existence of Markets 363
IX. Sequential Trading 365
X. Conclusion 367
References 368
Zusammenfassung: Neue Entwicklungen der Theorie effizienter Kapitalmärkte 370
Summary: Recent Developments in the Theory of Efficient Capital Markets 370
Résumé: Développements récents dans la théorie des marchés des capitaux efficaces 371

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