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National Research University Higher School of EconomicsStudent ThesesAmerican Stock Market Effectiveness Assessment: testing on S&P500.

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Elena Grebenkova
American Stock Market Effectiveness Assessment: testing on S&P500.
Finance
(Master’s programme)
2017
This master thesis discusses the hypothesis of the effective market, its main prerequisites, forms and empirical and theoretical criticism of this hypothesis. The hypothesis of the effective market assumes that the market completely reflects all information which is available on the market, at the same time the weak form of EMH assumes that the price of assets reflect all previously known information, the semi-strong form assumes that the price of assets reflect all publicly available information, and the strong form assumes that the price of assets reflect all information, including insider information.

In the master thesis the three forms of efficiency of the stock market of the United States of America were tested on the example of the S&P500. The weak form of efficiency was tested by econometric tests (the test of series and the expanded test of Dickey-Fuller) which have confirmed the efficiency of the American stock market in the weak form. Moreover, the research provides with the study of main types of calendar anomalies. The semi-strong form of efficiency was tested by building up the portfolios of shares on the basis of P/E coefficient and analysis of the profitability of these portfolios. The strong form of efficiency was tested with the help of correlation and regression analysis, which study whether there is the influence between the recommendations of the analytical agencies and shares' profitability. The number of pages in work - 71, there are 25 tables and 8 graphs in the master thesis. 38 sources of literature have been used .

Keywords: effective market hypothesis; behavioral finance; stock market anomalies; USA stock market; S&P500.

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