-----Original Message----- From: PEN-L list [mailto:[EMAIL PROTECTED] Behalf Of Julio Huato Sent: 18 July 2007 15:56 To: PEN-L@SUS.CSUCHICO.EDU Subject: Re: A question on the ethics of complicated econometric estimations
Michael Perelman wrote: > Julio, give me an example of an > econometric study that settled > a question? I would say that Andrew Lo's work over the last ten years has more or less definitively put the stake in the heart of market efficiency as defined by Fama &c. It's detailed, painstaking work but he has established to the satisfaction of any serious researcher that this concept doesn't describe the reality of equity prices. Lots of people who haven't read or understood Lo's work still go on pretending that market efficiency is alive, but I don't think this is really the fault of econometrics. best dd
