We examine the relation between high frequency quotation and the behavior of stock prices between 2009 and 2011 for the full cross-section of securities in the U.S. On average, higher quotation activity is associated with price series that more closely resemble a random walk, and significantly...

This study examines how equity market fragmentation affects firms’ capital investment decisions. Recent empirical research finds that market fragmentation lowers trading costs and thus improves market quality. We examine whether this increase in market quality translates into greater...

The recent Ninth Circuit decision in Miller v. Thane International, Inc. is a significant innovation that brings legal precedent regarding market efficiency more in line with current thinking in financial economics. Prior to Thane there was a tendency for courts to view financial markets as...

In a stock market dominated by passive investors, an interesting question arises as to how the equilibrium level of market efficiency will be maintained. This short article argues that the critical agents in this regard must be the companies that issue the shares, not active investment managers

In his Nobel speech, Eugene Fama claimed that critics have failed to offer a complete alternative to the efficient market hypothesis (EMH). More specifically, Fama stated, “Most important, the behavioral literature has not put forth a full blown model for prices and returns that can be tested...

The concept of market efficiency has been adopted by courts in a variety of contexts. In reality, markets can never be perfectly efficient or inefficient, but exist somewhere in between depending on the facts and circumstances. Courts, therefore, face a problem in deciding how efficient is...