The Sensitivity of the Efficient Market Hypothesis to Alternative Specifications of the Market Model

The Journal of FinanceVolume 34, Issue 4 p. 915-929 Article The Sensitivity of the Efficient Market Hypothesis to Alternative Specifications of the Market Model MENACHEM BRENNER, MENACHEM BRENNERThe Jerusalem Business School, Hebrew University and School of Business, University of California, Berkeley. I wish to thank Marshall Blume, Dave Downes, John McClain, Marshall Sarnat, Bernell Stone, Seymour Smidt and an anonymous referee for their helpful comments and suggestions. This research has been partially supported by a grant from the Lady Davis Foundation.Search for more papers by this author MENACHEM BRENNER, MENACHEM BRENNERThe Jerusalem Business School, Hebrew University and School of Business, University of California, Berkeley. I wish to thank Marshall Blume, Dave Downes, John McClain, Marshall Sarnat, Bernell Stone, Seymour Smidt and an anonymous referee for their helpful comments and suggestions. This research has been partially supported by a grant from the Lady Davis Foundation.Search for more papers by this author First published: September 1979 https://doi.org/10.1111/j.1540-6261.1979.tb03444.xCitations: 34 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinked InRedditWechat Citing Literature Volume34, Issue4September 1979Pages 915-929 RelatedInformation