Alphanomics: The Informational Underpinnings of Market Efficiency

This monograph is a compact introduction to empirical research on market efficiency, behavioral finance, and fundamental analysis. The first section reviews the evolution of academic thinking on market efficiency. Section 2 introduces the noise trader model as an alternative framework for market-related research. Section 3 surveys the growing literature on the causes and consequences of investor sentiment. Section 4 examines the role of fundamental analysis in value investing. Section 5 contains a survey of the literature on arbitrage costs and constraints, and Section 6 discusses research methodology issues associated with the need to distinguish between mispricing from risk.