Читать книгу Equity Markets, Valuation, and Analysis - H. Kent Baker - Страница 46

Semi-strong form efficiency occurs if stock prices currently reflect all known public information, including all market information. In a semi-strong form efficient market, stock prices also adjust rapidly to new public information. As with weak form efficiency, these adjustments occur so rapidly that investors cannot consistently earn abnormally large returns based on any new public information (Patell and Wolfson 1984). Two types of studies – event studies and mutual fund performance studies, show that markets are generally efficient in the semi-strong form. For example, Busse and Green (2002) use an event test to study the minute-by-minute stock prices of companies that are discussed on CNBC's segments. They show that stock prices move rapidly to new levels, depending on whether the reports they receive are positive or negative. Pastor and Stambaugh (2002b) find that mutual fund managers do not outperform their fund's benchmarks. These studies indicate that using public information in stock selections is unlikely to consistently lead to profits because stock prices have already incorporated this information.