COHEN, RANDOLPH B.; POLK, CHRISTOPHER; VUOLTEENAHO, TUOMO - In: Journal of Finance 64 (2009) 6, pp. 2739-2782
Most previous research tests market efficiency using average abnormal trading profits on dynamic trading strategies, and typically rejects the joint hypothesis of market efficiency and an asset pricing model. In contrast, we adopt the perspective of a buy-and-hold investor and examine stock...