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• W2073704048 abstract "Perhaps the most important consequence of pricing efficiency is its implications for the allocation of scarce capital resources. The proposition being that the higher a company's stock price, the easier access that it has to capital at a favourable cost. We have recently experienced an extended run up in stock prices in many markets amounting to what many would describe as a bubble that was followed by a major correction. Such market behaviour would appear to be consistent with many of the market anomalies that have been identified in markets and has led many to have reservations about the existence of efficient pricing. In this paper, we examine the conditions that would lead to efficient pricing and question the extent that these conditions exist even in the most developed markets. In particular, we highlight a general move in markets towards two investment styles, index investing and momentum investing, where investments decisions are made without any reference to fair value. In order to further investigate the implications of such investment styles for security pricing, we model pricing behaviour in markets with different compositions of fundamental, momentum and index investors. We find evidence to suggest that compositions that are fairly typical of the mix of investors in current day markets will lead to price behaviour similar to that found by other writers: an underreaction to new information followed by an overreaction. This suggests that, without any major change in the composition of styles followed by investors, we will continue to see evidence of market anomalies into the future and pricing bubbles particularly at times when we experience highly correlated information signals. Further, there would seem to be no natural end to this type of pricing behaviour as both momentum and index investing remain eminently sensible strategies to pursue from the perspective of the individual investor." @default.
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• W2073704048 date "2004-01-01" @default.
• W2073704048 modified "2023-09-28" @default.
• W2073704048 title "The Case for Market Inefficiency: Investment Style and Market Pricing" @default.
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• W2073704048 doi "https://doi.org/10.2139/ssrn.495704" @default.
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