1. Presented by: Septian Bayu K. 0806479080
The Efficient Market Hypothesis and Its Critics Burton G. Malkiel (2003)
Presented by:
Septian Bayu K

2. Outline Introduction A Nonrandom Walk Down Wall Street
Predictable Pattern Based on Valuation Parameters
Cross-Sectional Predictable Patterns Based on Firm Characteristics and Valuation Parameters
Seeming Irrefutable Cases of Inefficiency
The performance of Professional Investors
Conclusion

3. Introduction Accepting EMH EMH and random walk Intellectual dominance
Paper examination

4. A Nonrandom Walk Down Wall Street
Short term momentum, including underreaction to new information
Long run return reversal
Seasonal and day-of-the-week patterns

5. Predictable Patterns Based on Valuation Parameters (1)
Predicting future returns from initial dividends yields (exhibit 1.1)
Predicting market returns from initial price-earnings multiples (exhibit 1.2)
Other predictable time series patterns

6. Predictable Patterns Based on Valuation Parameters (2)
Exhibit 1.1

7. Predictable Patterns Based on Valuation Parameters (3)
Exhibit 1.2

8. The size effect (exhibit 2) Value stocks (exhibit 3)
Cross-Sectional Predictable Patterns Based on Firm Characteristics and Valuation Parameters (1)
The size effect (exhibit 2)
Value stocks (exhibit 3)
The equity risk premium puzzle
Summarizing the “anomalies” and predictable patterns

9. Cross-Sectional Predictable Patterns Based on Firm Characteristics and Valuation Parameters (2)
Exhibit 2

10. Cross-Sectional Predictable Patterns Based on Firm Characteristics and Valuation Parameters (3)
Exhibit 3

11. Seemingly Irrefutable Cases of Inefficiency
The market crash of October 1987
The internet bubble of the late 1990s
Other illustrations of irrational pricing

12. The Performance of Professional Investors (1)
Exhibit 4

13. The Performance of Professional Investors (2)
Exhibit 5

14. The Performance of Professional Investors (3)
Exhibit 6

15. The Performance of Professional Investors (4)
Exhibit 7

16. The Performance of Professional Investors (5)
Exhibit 8

17. The Performance of Professional Investors (6)
Exhibit 9

18. Conclusion Market cannot be perfectly efficient
Whatever patterns or irrationalities, they are unlikely to persist would not provide extraordinary returns for investor