Market efficiency, long-term returns, and behaviora finance

author: Eugene F. Fama
Graduate School of Business, University of Chicago, Chicago, IL 60637, USA
Received 17 March 1997; received in revised form 3 October 1997

Abstract
Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal.Most important, consistent with the market efficiency prediction that apparent anomalies can be due tomethodology,most long-termreturn anomalies tend to disappear with reasonable changes in technique.

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