Efficient Markets: Anomalies and Arbitrage

This lecture explores the concept of market efficiency, different forms of efficient market hypotheses, and empirical evidence supporting them. It delves into event studies, cross-sectional anomalies, and the impact of market news on stock prices. The lecture also covers the Efficient Markets Hypothesis (EMH), behavioral finance, and the Black-Litterman model. It discusses the factors influencing stock returns, such as size and value anomalies, and the implications for portfolio construction. Additionally, it examines mutual fund performance, market predictability, and the role of transaction costs in trading strategies.