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PS 6
1. From Jones and Netter, “Efficient Capital Markets” and the in-class lecture on EMH
a. Summarize the evidence that supports the semi-strong version of the efficient markets
hypothesis.
b. Summarize the evidence that refutes the semi-strong version of the efficient markets
hypothesis.
c. Summarize how one’s perspective of market efficiency can depend on the timeframe that
they take.
d. Summarize how one’s perspective of market efficiency can depend on their perspective
of how arbitrage functions.
a. Based on the video, characterize Taleb’s and Shiller’s respective perspectives toward
financial markets.
b. How does each person’s policy/regulatory prescription follow from his view of markets?
c. How does Robert Merton’s perspective of markets, captured by WGF and briefly
described on p. 220 of the epilogue, differ?
3. Read WGF, chapters 8-epilogue for class on 10/13 and for the midterm. Familiarize yourself
with the following sections for a discussion of the limits to arbitrage in class on 10/13:
3; 6 (96-102; 111-112); 7 (123-126; 128-129); 8 (143-145; 151-152)
There are no questions on the problem set from WGF, but the discussion on 10/13 will be
important for the midterm. You should also work through the guiding questions that are posted to
Moodle as you read.