Analyzing Market Efficiency: The Role of Business Cycles, Risk Aversion, and Occam's Razor in the Adaptive Market Hypothesis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F25%3A00140497" target="_blank" >RIV/00216224:14560/25:00140497 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1544612325001059" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1544612325001059</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2025.106840" target="_blank" >10.1016/j.frl.2025.106840</a>
Alternative languages
Result language
angličtina
Original language name
Analyzing Market Efficiency: The Role of Business Cycles, Risk Aversion, and Occam's Razor in the Adaptive Market Hypothesis
Original language description
In this study, we analyze US stock market return predictability using autocorrelation and variance ratios. We show that relationships in Adaptive Market Hypothesis (AMH) literature can be explained by business cycles and risk aversion, without invalidating the Efficient Market Hypothesis (EMH). We argue that, following Occam’s razor, the more parsimonious EMH should be preferred over many AMH effects. Additionally, we contend that current AMH testing methodologies have theoretical issues that prevent them from convincingly advancing our understanding beyond the established EMH paradigm.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
—
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Finance Research Letters
ISSN
1544-6123
e-ISSN
1544-6131
Volume of the periodical
75
Issue of the periodical within the volume
April
Country of publishing house
US - UNITED STATES
Number of pages
8
Pages from-to
1-8
UT code for WoS article
001424113600001
EID of the result in the Scopus database
2-s2.0-85216870982