Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis

摘要

The expansion of investment strategies and capital markets is altering the significance andempirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is essentialfor efficiency research. The authors explore here the development and contemporary status of theefficient market hypothesis by emphasizing anomaly/excess returns. Investors often fail to get excessreturns; however, thus far, market anomalies have been witnessed and stock prices have divergedfrom their intrinsic value. This paper presents an analysis of anomaly returns in the presence of thetheory of the efficient market. Moreover, the market efficiency progression is reviewed and its presentstatus is explored. Finally, the authors provide enough evidence of a data snooping issue, whichviolates and challenges the existing proof and creates room for replication studies in modern finance.