Unformatted text preview: X (i.e., such that E [ Y  X = 1] = E [ Y  X = 2] = E [ Y ] ). 2. Suppose that the rate of return on the stock of XYZ plc is observed to follow a martingale process. Explain what this means in terms of the properties of the rate of return over time. What can be inferred from this observation about the efﬁciency or inefﬁciency of the market for the stock of XYZ plc? 3. If every appraisal of asset market efﬁciency depends on a model of asset prices, what criteria should be used to choose ‘the model’? 4. Discuss the theoretical and empirical signiﬁcance of the hypothesis that stock market prices follow a random walk. 5. Discuss the strengths and weaknesses of event studies in appraising asset market efﬁciency. *****...
View
Full
Document
This note was uploaded on 03/21/2011 for the course ECON 6120 taught by Professor Crabbe during the Spring '11 term at University of Ottawa.
 Spring '11
 CRABBE

Click to edit the document details