<H2>
<P>Market efficiency, long-term returns, and behavioral finance<a href="http://www.sciencedirect.com/science?_ob=ArticleURL&amp;_udi=B6VBX-408CBS1-1&amp;_coverDate=09%2F01%2F1998&amp;_alid=270337041&amp;_rdoc=1&amp;_fmt=&amp;_orig=search&amp;_qd=1&amp;_cdi=5938&amp;_sort=d&amp;view=c&amp;_acct=C000050221&amp;_version=1&amp;_urlVersion=0&amp;_userid=10&amp;md5=6635d8a0aa7754f#fn1" target="_blank" ><SUP>1</SUP></A> </H2><b>
<P>Eugene F. Fama<a href="http://www.sciencedirect.com/science?_ob=ArticleURL&amp;_udi=B6VBX-408CBS1-1&amp;_coverDate=09%2F01%2F1998&amp;_alid=270337041&amp;_rdoc=1&amp;_fmt=&amp;_orig=search&amp;_qd=1&amp;_cdi=5938&amp;_sort=d&amp;view=c&amp;_acct=C000050221&amp;_version=1&amp;_urlVersion=0&amp;_userid=10&amp;md5=6635d8a0aa7754f#cor*" target="_blank" ><SUP>*</SUP></A> </b>

Graduate School of Business, University of Chicago, Chicago, IL 60637, USA

Received 17 March 1997; revised 3 October 1997. Available online 15 May 2000. <BR clear=all>

</P>
<DIV >
<H2>Abstract</H2>
<P>Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market efficiency prediction that apparent anomalies can be due to methodology, most long-term return anomalies tend to disappear with reasonable changes in technique.
<P><b>Author Keywords: </b>Market efficiency; Behavioral finance
<P><b>JEL classification codes:</b> G14; G12 <BR clear=all><IMG src="http://www.sciencedirect.com/scidirimg/sci_dir/line.gif" border=0> </P></DIV>

<DIV >
<P><a href="http://www.sciencedirect.com/science?_ob=ArticleURL&amp;_udi=B6VBX-408CBS1-1&amp;_coverDate=09%2F01%2F1998&amp;_alid=270337041&amp;_rdoc=1&amp;_fmt=&amp;_orig=search&amp;_qd=1&amp;_cdi=5938&amp;_sort=d&amp;view=c&amp;_acct=C000050221&amp;_version=1&amp;_urlVersion=0&amp;_userid=10&amp;md5=6635d8a0aa7754f#fnb1" target="_blank" ><SUP>1</SUP></A>The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.
<P><a href="http://www.sciencedirect.com/science?_ob=ArticleURL&amp;_udi=B6VBX-408CBS1-1&amp;_coverDate=09%2F01%2F1998&amp;_alid=270337041&amp;_rdoc=1&amp;_fmt=&amp;_orig=search&amp;_qd=1&amp;_cdi=5938&amp;_sort=d&amp;view=c&amp;_acct=C000050221&amp;_version=1&amp;_urlVersion=0&amp;_userid=10&amp;md5=6635d8a0aa7754f#bcor*" target="_blank" ><SUP>*</SUP></A>Corresponding author. Tel.: 773 702 7282; fax: 773 702 9937; e-mail: <a href="mailteugene.fama@gsb.uchicago.edu." target="_blank" >eugene.fama@gsb.uchicago.edu.</A> </P></DIV>