American Finance Association

Efficient Capital Markets: A Review of Theory and Empirical Work
Author(s): Eugene F. Fama
Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth
Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969
(May, 1970), pp. 383-417
Published by: Wiley for the American Finance Association
Stable URL: http://www.jstor.org/stable/2325486 .
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The value of theequilibriumexpectedreturnE(rj,t+llijt) projectedon the fromtheparticularexpected basis of theinformation iJtwouldbe determined returntheoryat hand. The conditionalexpectationnotationof (1) is meant to imply,however,thatwhateverexpectedreturnmodelis assumedto apply, equilibriumexpected the information in 1t is fullyutilizedin determining in theformation
And thisis the sensein which1t is "fullyreflected" returns. of the price pjt.

But we shouldnoterightoffthat,simpleas it is, the assumptionthat the conditionsof marketequilibriumcan be statedin termsof expectedreturns elevatesthe purelymathematicalconceptof expectedvalue to a status not

necessarily implied by the general notion of market efficiency.The expected

of value is just one of manypossible summarymeasuresof a distribution per se (i.e., thegeneralnotionthatprices"fully and marketefficiency returns, does notimbueit withany specialimportance. reflect"availableinformation) Thus, theresultsof testsbased on thisassumptiondependto some extenton of themarket.But somesuch assumpits validityas wellas on theefficiency tion is the unavoidableprice one mustpay to give the theoryof efficient marketsempiricalcontent. The assumptionsthat the conditionsof marketequilibriumcan be stated

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Capital Markets
Efficient

385

in termsof